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Generalized Covariance Estimator under Misspecification

Neyazi, Aryan Manafi
arXiv (All) · Papers
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econometrics
This paper investigates the properties of the Generalized Covariance (GCov) estimator under misspecification with application to processes with local explosive patterns, such as causal-noncausal processes. We show that GCov is consistent and has an asymptotically Normal distribution under misspecifi
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