Maekawa, Koichi; McAleer, Michael; He, Zonglu - Institute of Social and Economic Research (ISER), Osaka … - 2001
In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...
