Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Texto para discussão ; No. 577
- Klassifikation
-
Wirtschaft
- Thema
-
Cointegration
nonlinearity
bimodality
misspecification
instrumental variables
asymptotic theory.
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Medeiros, Marcelo C.
Mendes, Eduardo
Oxley, Les
- Ereignis
-
Veröffentlichung
- (wer)
-
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
- (wo)
-
Rio de Janeiro
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Medeiros, Marcelo C.
- Mendes, Eduardo
- Oxley, Les
- Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
Entstanden
- 2010
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