@article{Stock-Adjustment:670,
      recid = {670},
      author = {Amano, Robert and Wirjanto, Tony S.},
      title = {The Implications of Nonstationarity for the  Stock-Adjustment Model},
      publisher = {Bank of Canada},
      address = {1993},
      pages = {1 online resource (v, 28 pages)},
      abstract = {This paper studies the asymptotic behaviour of least  squares estimates in a stock adjustment model when the  variables are nonstationary. The paper first considers the  case in which the variables are not cointegrated, and then  examines the case under cointegration. In the case of no  cointegration, we find that the least squares estimate of  the adjustment coefficient is close to zero, independent of  its true value. In the case of cointegration, it is shown  that a transformation can be applied to the model so that  the resulting instrumental variable estimates will have  standard distributions. Economic examples are used to  illustrate each case and Monte Carlo simulations are  performed in order to gauge the relevance of the asymptotic  results for finite samples. The simulation evidence  suggests that the asymptotic results are useful  approximations in finite samples.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/670},
      doi = {https://doi.org/10.34989/swp-1993-1},
}