Does anyone know what the consequences for the properties of the OLS estimator are (biased/consistency/...) if you run following regression inflation = beta0 + beta1 * u + beta2 * s + epsilon, with inflation being I(1) process and u and s I(0) processes?
thanks in advance
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- Sat Jan 25, 2014 6:22 am
- Forum: Econometric Discussions
- Topic: Non-stationary and stationary variables
- Replies: 1
- Views: 3350