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    A Note on Nonlinear Cointegration, Misspecification, and Bimodality

    Access Status
    Fulltext not available
    Authors
    Medeiros, M.
    Mendes, E.
    Oxley, Leslie
    Date
    2014
    Type
    Journal Article
    
    Metadata
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    Citation
    Medeiros, M. and Mendes, E. and Oxley, L. 2014. A Note on Nonlinear Cointegration, Misspecification, and Bimodality. Econometric Reviews. 33 (7): pp. 713-731.
    Source Title
    Econometric Reviews
    DOI
    10.1080/07474938.2012.690676
    ISSN
    0747-4938
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/48221
    Collection
    • Curtin Research Publications
    Abstract

    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. © 2014 Copyright Taylor and Francis Group, LLC.

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