Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/176060 
Year of Publication: 
2010
Series/Report no.: 
Texto para discussão No. 577
Publisher: 
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia, Rio de Janeiro
Abstract: 
We show that the asymptotic distribution of the ordinary least squares estimator in a cointegration regression may be bimodal. 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 generalises to more complicated nonlinear models involving integrated time series.
Subjects: 
Cointegration
nonlinearity
bimodality
misspecification
instrumental variables
asymptotic theory.
Document Type: 
Working Paper

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