dc.contributor.author |
Phillips, Peter CB |
|
dc.contributor.author |
Wang, Ying |
|
dc.date.accessioned |
2022-01-19T23:44:31Z |
|
dc.date.available |
2022-01-19T23:44:31Z |
|
dc.date.issued |
2021-10-1 |
|
dc.identifier.citation |
Journal of Econometrics 232(2):469-489 Feb 2023 |
|
dc.identifier.issn |
0304-4076 |
|
dc.identifier.uri |
https://hdl.handle.net/2292/58039 |
|
dc.description.abstract |
Limit distribution theory in the econometric literature for functional coefficient cointegrating regression is incorrect in important ways, influencing rates of convergence, distributional properties, and practical work. The correct limit theory reveals that components from both bias and variance terms contribute to variability in the asymptotics. The errors in the literature arise because random variability in the bias term has been neglected in earlier research. In stationary regression this random variability is of smaller order and can be ignored in asymptotic analysis but not without consequences for finite sample performance. Implications of the findings for rate efficient estimation are discussed. Simulations in the Online Supplement provide further evidence supporting the new limit theory in nonstationary functional coefficient regressions. |
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dc.language |
en |
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dc.publisher |
Elsevier BV |
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dc.relation.ispartofseries |
Journal of Econometrics |
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dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
|
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
|
dc.rights.uri |
https://creativecommons.org/licenses/by-nc-nd/4.0/ |
|
dc.subject |
0104 Statistics |
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dc.subject |
1402 Applied Economics |
|
dc.subject |
1403 Econometrics |
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dc.title |
When bias contributes to variance: True limit theory in functional coefficient cointegrating regression |
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dc.type |
Journal Article |
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dc.identifier.doi |
10.1016/j.jeconom.2021.09.007 |
|
dc.date.updated |
2021-12-03T01:47:17Z |
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dc.rights.holder |
Copyright: Elsevier |
en |
pubs.publication-status |
Published |
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dc.rights.accessrights |
http://purl.org/eprint/accessRights/OpenAccess |
en |
pubs.subtype |
Journal Article |
|
pubs.elements-id |
873536 |
|
dc.identifier.eissn |
1872-6895 |
|