Estimation and Inference in Unstable Nonlinear Least Squares Models

We are grateful to Mehmet Caner, Manfred Deistler, John Einmahl, Atsushi Inoue and Denise Osborn for their comments, as well as for the comments of participants at the presentation of this paper at the Conference on Breaks and Persistence in Econometrics, London, UK, December 2006, Inference and Tests in Econometrics, Marseille, France, April 2008, European Meetings of the Econometric Society, Milan, Italy, August 2008, NBER-NSF Time Series Conference, Aarhus, Denmark, September 2008, Fed St. Louis Applied Econometrics and Forecasting in Macroeconomics Workshop, St. Louis, October 2008, and at the seminars in Tilburg University, University of Manchester, University of Exeter, University of Cambridge, University of Southampton, Tinbergen Institute, UC Davis and Institute for Advanced Studies, Vienna. The second author acknowledges the support of ESRC grant RES-062-23-1351.