Cointegration methods are widely used in empirical macroeconomics
and empirical finance. It is well known that in a cointegrating
regression the ordinary least squares (OLS) estimator of the
parameters is superconsistent, i.e. converges at rate equal to the
sample size T. When the regressors are endogenous, the limiting
distribution of the OLS estimator is contaminated by socalled second
order bias terms, see e.g. Phillips and Hansen (1990)
Package details 


Author  Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying MATLAB code.) 
Date of publication  20160614 11:58:42 
Maintainer  Philipp Aschersleben <aschersleben@statistik.tudortmund.de> 
License  GPL3 
Version  0.2.0 
URL  https://github.com/aschersleben/cointReg 
Package repository  View on CRAN 
Installation 
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