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 Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 577.
Date of creation: Oct 2010
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Cointegration; nonlinearity; bimodality; misspecification; instrumental variables; asymptotic theory.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-06 (All new papers)
- NEP-ECM-2010-11-06 (Econometrics)
- NEP-ETS-2010-11-06 (Econometric Time Series)
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