Econometrics: Econometric & Statistical Methods - Special Topics eJournal | 2021
A note on nonlinear least squares estimation of multivariate stochastic unit root models
Abstract
This note provides corrections to some results in the recently published article by Lieberman and Phillips (2017). The limiting results in Theorems 7 and 8 are corrected. In addition, we propose some simple modifications which allow the consistent estimation of the parameters in Theorem 8.