Work

Misspecified Canonical Cointegrating Regressions

Year: 2026

Type: article

Abstract: ABSTRACT Least squares (LS) estimation of canonical cointegrating regression (CCR) is explored allowing for potential misspecification from singularity in the system and multicointegration among the variables. The following properties are established: (i) superconsistent estimation with increased rates of convergence in degenerate directions; and (ii) limit theory that is nuisance parameter dependent in degenerate directions. Importantly for practitioners, inference for testing coefficient restrictions is shown to remain valid under certain conditions in CCR despite potential misspecification from singularity in the system.

Source: Journal of Time Series Analysis

DOI: 10.1111/jtsa.70082

Authors: Igor L. Kheifets, Peter C. B. Phillips

Institutions: University of North Carolina at Charlotte, University of Auckland, Yale University

Language: English

Topic: Advanced Statistical Methods and Models

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: hybrid

Estimated APC paid: $3,510

OpenAlex ID: W7222968832

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Cites: 23

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