Maekawa, Koichi (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]
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...
