A Note on Nonlinear Cointegration, Misspecification, and Bimodality
Marcelo Medeiros (),
Eduardo Mendes and
Les Oxley ()
Econometric Reviews, 2014, vol. 33, issue 7, 713-731
We derive the asymptotic distribution of the ordinary least squares estimator in a regression with cointegrated variables under misspecification and/or nonlinearity in the regressors. We show that, under some circumstances, the order of convergence of the estimator changes and the asymptotic distribution is non-standard. The t -statistic might also diverge. 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 generalise to more complicated nonlinear models involving integrated time series.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: A Note on Nonlinear Cointegration, Misspecification and Bimodality (2010)
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:taf:emetrv:v:33:y:2014:i:7:p:713-731
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometric Reviews is currently edited by Dr. Essie Maasoumi
More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().