A Note on Nonlinear Cointegration, Misspecification and Bimodality
We 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.
|Date of creation:||12 Mar 2010|
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- Forchini, G., 2006.
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Cambridge University Press, vol. 22(05), pages 932-946, October.
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1540, Cowles Foundation for Research in Economics, Yale University.
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