Cointegration, variance shifts and the limiting distribution of the OLS estimator
Nikolaos Kourogenis () and
Nikitas Pittis ()
Economics Letters, 2008, vol. 99, issue 1, 103-106
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.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:99:y:2008:i:1:p:103-106
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().