A Note on Nonlinear Cointegration, Misspecification, and Bimodality
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 distrib...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/48221 |