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Asymptotic distribution theory for econometric estimation with integrated processes : a guide Dolado Lobregad, Juan José Métodos Econométricos y Estadísticos Modelos econométricos Métodos cuantitativos Tipos de cambio Situación económica The purpose of this paper is, in the absence of a textbook which incorporates in a comprehensive form the increased diversity of applications and methodology of integrated processes, take stock of the most important results in this field, interpreting such results and, also, comparing them to conventional central limit theory for stationary processes. Section 2 develops some preliminary notation and introduces the basic concepts of the appropriate limiting distribution for integrated processes of order one in section 3 is applied the previous theory to derive the distributions of several tests for the existence of unit roots section 4 examines results in multivariate regression models, including spurious regressions, detrending and cointegrating regressions, as well as issues related to causality tests in a framework of integrated variables. Finally, section 5 extends some of the previous results to higher order integrated and near integrated time series. References 1991-02-04 Documento de trabajo ISBN: 8477930767 https://repositorio.bde.es/handle/123456789/6420 en Documentos de Trabajo / Banco de España, 9103 Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0) In Copyright - Non Commercial Use Permitted https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES http://rightsstatements.org/vocab/InC-NC/1.0/ 46 p. application/pdf Banco de España. Servicio de Estudios Madrid : Banco de España. Servicio de Estudios, 1991