Park, Joon Y.; Chung, Heetaik - Econometric Society - 2004
This paper considers the regression with errors having nonstationary nonlinear heteroskedasticity. For both the usual … stationary regression and the nonstationary cointegrating regression, we develop the asymptotic theories for the least squares … is shown that the nonstationarity of volatility in the regression errors may induce spuriousness of the underlying …