Medeiros, M.C.; Mendes, E.; Oxley, Les - Department of Economics and Finance, College of … - 2010
We show that the asymptotic distribution of the ordinary least squares estimator in a cointegration regression may be bimodal. A simple case arises when the intercept is erroneously omitted from the estimated model or in nonlinear-in-variables models with endogenous regressors. In the latter...