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.
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- Ibragimov, Rustam & Phillips, Peter C.B., 2008.
"Regression Asymptotics Using Martingale Convergence Methods,"
Cambridge University Press, vol. 24(04), pages 888-947, August.
- Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression asymptotics using martingale convergence methods," Scholarly Articles 2624459, Harvard University Department of Economics.
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- Forchini, G., 2006.
"On The Bimodality Of The Exact Distribution Of The Tsls Estimator,"
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- Hillier, Grant, 2006. "Yet More On The Exact Properties Of Iv Estimators," Econometric Theory, Cambridge University Press, vol. 22(05), pages 913-931, October.
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"A Remark On Bimodality And Weak Instrumentation In Structural Equation Estimation,"
Cambridge University Press, vol. 22(05), pages 947-960, October.
- Peter C. B. Phillips, 2005. "A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation," Cowles Foundation Discussion Papers 1540, Cowles Foundation for Research in Economics, Yale University.
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