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dc.contributor.authorMedeiros, M.
dc.contributor.authorMendes, E.
dc.contributor.authorOxley, Leslie
dc.date.accessioned2017-01-30T15:38:12Z
dc.date.available2017-01-30T15:38:12Z
dc.date.created2016-02-18T19:30:21Z
dc.date.issued2014
dc.identifier.citationMedeiros, M. and Mendes, E. and Oxley, L. 2014. A Note on Nonlinear Cointegration, Misspecification, and Bimodality. Econometric Reviews. 33 (7): pp. 713-731.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/48221
dc.identifier.doi10.1080/07474938.2012.690676
dc.description.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.

dc.titleA Note on Nonlinear Cointegration, Misspecification, and Bimodality
dc.typeJournal Article
dcterms.source.volume33
dcterms.source.number7
dcterms.source.startPage713
dcterms.source.endPage731
dcterms.source.issn0747-4938
dcterms.source.titleEconometric Reviews
curtin.departmentSchool of Economics and Finance
curtin.accessStatusFulltext not available


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