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: | , , |
|---|---|
| Format: | Journal Article |
| Published: |
2014
|
| Online Access: | http://hdl.handle.net/20.500.11937/48221 |
| _version_ | 1848758049828765696 |
|---|---|
| author | Medeiros, M. Mendes, E. Oxley, Leslie |
| author_facet | Medeiros, M. Mendes, E. Oxley, Leslie |
| author_sort | Medeiros, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:37:49Z |
| format | Journal Article |
| id | curtin-20.500.11937-48221 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:37:49Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-482212017-09-13T14:21:31Z A Note on Nonlinear Cointegration, Misspecification, and Bimodality Medeiros, M. Mendes, E. Oxley, Leslie 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. 2014 Journal Article http://hdl.handle.net/20.500.11937/48221 10.1080/07474938.2012.690676 restricted |
| spellingShingle | Medeiros, M. Mendes, E. Oxley, Leslie A Note on Nonlinear Cointegration, Misspecification, and Bimodality |
| title | A Note on Nonlinear Cointegration, Misspecification, and Bimodality |
| title_full | A Note on Nonlinear Cointegration, Misspecification, and Bimodality |
| title_fullStr | A Note on Nonlinear Cointegration, Misspecification, and Bimodality |
| title_full_unstemmed | A Note on Nonlinear Cointegration, Misspecification, and Bimodality |
| title_short | A Note on Nonlinear Cointegration, Misspecification, and Bimodality |
| title_sort | note on nonlinear cointegration, misspecification, and bimodality |
| url | http://hdl.handle.net/20.500.11937/48221 |