Nonlinear Cointegration, Misspecification and Bimodality

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Texto para discussão ; No. 577

Classification and Topics

• Classification: Wirtschaft
• Subject: Cointegration ; nonlinearity ; bimodality ; misspecification ; instrumental variables ; asymptotic theory.

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Medeiros, Marcelo C. ; Mendes, Eduardo ; Oxley, Les
• Event: Veröffentlichung
• (who): Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
• (where): Rio de Janeiro
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/176060
• Last update: 10.03.2025, 11:46 AM CET