TD n. 577 2010
Marcelo Medeiros, Eduardo F. Mendes, L. Oxley.
http://dx.doi.org/10.1080/07474938.2012.690676
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.
Publicado em Econometic Reviews, v. 33, n.7, p. 713-731, 2014