Medeiros, Marcelo C.; Mendes, Eduardo; Oxley, Les - In: Econometric Reviews 33 (2014) 7, pp. 713-731
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...