Cointegration, variance shifts and the limiting distribution of the OLS estimator

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.

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Year of publication:	2008
Authors:	Kourogenis, Nikolaos ; Pittis, Nikitas
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 1, p. 103-106
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005307433