Gao, Jiti; Tjøstheim, Dag; Yin, Jiying - 2011
, we show that the ordinary least squares (OLS) estimators of the parameters involved are asymptotically consistent …. Furthermore, it can be shown that the OLS estimator of the coefficient parameter involved in the stationary regime can still be … asymptotically normal while the OLS estimator of the coefficient parameter involved in the nonstationary regime has a nonstandard …