Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Chaohua Dong (), Jiti Gao, Dag Tjøstheim () and Jiying Yin ()

No 8/14, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that the model accommodates endogeniety. A new and simple test is proposed and the resulting asymptotic theory is established. The test statistic is constructed based on a natural distance function between a nonparametric estimate and a smoothed parametric counterpart. The asymptotic distribution of the test statistic under the parametric specification is proportional to that of a local-time random variable with a known distribution. In addition, the finite sample performance of the proposed test is evaluated through using both simulated and real data examples.

Keywords: ointegration; endogeneity; nonparametric kernel estimation; parametric model speci-fication; time series. (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Pages: 44
Date: 2014
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://business.monash.edu/econometrics-and-busine ... ions/ebs/wp08-14.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp08-14.pdf [301 Moved Permanently]--> https://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp08-14.pdf [301 Moved Permanently]--> https://www.monash.edu/business/econometrics-and-business-statistics/research/publications/ebs/wp08-14.pdf [301 Moved Permanently]--> https://www.monash.edu/business/econometrics-and-business-statistics-new/research/publications/ebs/wp08-14.pdf)

Related works:
Journal Article: Specification testing for nonlinear multivariate cointegrating regressions (2017)
Working Paper: Specification Testing for Nonlinear Multivariate Cointegrating Regressions (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:msh:ebswps:2014-8

Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics

Access Statistics for this paper

More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().