When bias contributes to variance: True limit theory in functional coefficient cointegrating regression
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 te...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2775 https://ink.library.smu.edu.sg/context/soe_research/article/3774/viewcontent/BiasContributeVariance_2021_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |