Article ID Journal Published Year Pages File Type
5062031 Economics Letters 2008 4 Pages PDF
Abstract

This paper investigates the performance of the OLS estimator in the context of a cointegrating system, which exhibits a single variance shift. It is shown that the limiting distribution of OLS and that of the associated t-statistic depend on the time, the size and the direction of the break.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Cointegration, variance shifts and the limiting distribution of the OLS estimator
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