A Note on Nonlinear Cointegration, Misspecification and Bimodality
AbstractWe show that the asymptotic distribution of the ordinary least squares estimator in a cointegration regression may be bimodal. A simple case arises when the intercept is erroneously omitted from the estimated model or in nonlinear-in-variables models with endogenous regressors. In the latter case, a solution is to use an instrumental variable estimator. The core results in this paper also generalises to more complicated nonlinear models involving integrated time series.
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Bibliographic InfoPaper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 10/01.
Length: 18 pages
Date of creation: 12 Mar 2010
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Cointegration; nonlinearity; bimodality; misspecification; asymptotic theory;
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- Rustam Ibragimov & Peter C.B. Phillips, 2004.
"Regression Asymptotics Using Martingale Convergence Methods,"
Cowles Foundation Discussion Papers
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Monash Econometrics and Business Statistics Working Papers
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