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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

Abstract: 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.

Date: 2008
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:103-106