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Erratum
Published online by Cambridge University Press: 11 February 2009
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The following solution, which corrects a mistake in the solution to Problem 92.2.7 by Peter C.B. Phillips, was prepared by Marie Blanchet and Peter Burridge.
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References
REFERENCES
Phillips, P.C.B. (1995) Fully modified least squares and vector autoregression. Econometrica 63, 1023–1078.CrossRefGoogle Scholar
Sims, C.A., Stock, J.H. & Watson, M.W. (1990) Inference in linear time series with some unit roots. Econometrica 58, 113–144.CrossRefGoogle Scholar
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