Kasparis, Ioannis; Phillips, Peter C.B. - In: Journal of Econometrics 168 (2012) 2, pp. 270-284
cointegrating regression under misspecified lag structure are derived, showing the NW estimator to be inconsistent, in general, with … a “pseudo-true function” limit that is a local average of the true regression function. In this respect nonlinear … cointegrating regression differs importantly from conventional linear cointegration which is invariant to time translation. When …