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Cointegration, variance shifts and the limiting distribution of the OLS estimator

  • Kourogenis, Nikolaos
  • Pittis, Nikitas

This 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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File URL: http://www.sciencedirect.com/science/article/B6V84-4NYSXB2-2/1/e7ba78b4f172d66bfde2cc1265ef1f18
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 1 (April)
Pages: 103-106

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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:103-106
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  2. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(03), pages 468-497, December.
  3. Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 473-95, August.
  4. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing the Null of Co-integration in the Presence of Variance Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 613-636, 07.
  5. Phillips, P C B, 1988. "Reflections on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(187), pages 344-59, December.
  6. Hamori, Shigeyuki & Tokihisa, Akira, 1997. "Testing for a unit root in the presence of a variance shift1," Economics Letters, Elsevier, vol. 57(3), pages 245-253, December.
  7. Giuseppe Cavaliere, 2003. "Unit root tests under time-varying variances," Quaderni di Dipartimento 2, Department of Statistics, University of Bologna.
  8. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
  9. Burridge, P. & Taylor, A.M.R., 1999. "On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity," Discussion Papers 99-10, Department of Economics, University of Birmingham.
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