A Note on Nonlinear Cointegration, Misspecification, and Bimodality

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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...

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Bibliographic Details
Main Authors:	Medeiros, M., Mendes, E., Oxley, Leslie
Format:	Journal Article
Published:	2014
Online Access:	http://hdl.handle.net/20.500.11937/48221

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