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Annals issue ofJournal of Econometrics“Recent Advances in Time Series Econometrics” Guest Editors’ introduction
–Graham Elliott, A.M. Robert Taylor [] []

Optimal estimation of cointegrated systems with irrelevant instruments
–Peter C.B. Phillips [] []

The estimation of misspecified long memory models
–Peter M. Robinson [] []

Testable implications of affine term structure models
–James D. Hamilton, Jing Cynthia Wu [] []

Testing for seasonal unit roots by frequency domain regression
–Marcus J. Chambers, Joanne S. Ercolani, A.M. Robert Taylor [] []

Testing for unit roots in bounded time series
–Giuseppe Cavaliere, Fang Xu [] []

Aggregation in large dynamic panels
–M. Hashem Pesaran, Alexander Chudik [] []

Model selection in under-specified equations facing breaks
–Jennifer L. Castle, David F. Hendry [] []

Is there an optimal forecast combination?
–Cheng Hsiao, Shui Ki Wan [] []

An asymptotic invariance property of the common trends under linear transformations of the data
–Søren Johansen, Katarina Juselius [] []

Granger causality, exogeneity, cointegration, and economic policy analysis
–Halbert White, Davide Pettenuzzo [] []

Summability of stochastic processes—A generalization of integration for non-linear processes
–Vanessa Berenguer-Rico, Jesús Gonzalo [] []

The aggregation of dynamic relationships caused by incomplete information
–Michael A. Thornton [] []

Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
–Hyun Hak Kim, Norman R. Swanson [] []

Estimating turning points using large data sets
–James H. Stock, Mark W. Watson [] []

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