Cointegration, variance shifts and the limiting distribution of the OLS estimator
AbstractThis paper investigates the performance of the OLS estimator in the context of a cointegrating system, which exhibits a single variance shift. It is shown that the limiting distribution of OLS and that of the associated t-statistic depend on the time, the size and the direction of the break.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 99 (2008)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/ecolet
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