Cumulated sum of squares statistics for non-linear and non-stationary regressions

Vanessa Berenguer-Rico and Bent Nielsen ()
Additional contact information
Vanessa Berenguer-Rico: Dept of Economics, Mansfield College and Programme for Economic Modelling, Oxford University
Bent Nielsen: Dept of Economics, Nuffield College, Institute Programme for Economic Modelling, Oxford University

No 2015-W09, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: We show that the cumulated sum of squares test has a standard Brownian bridge-type asymptotic distribution in non-linear regression models with non-stationary regressors. This contrasts with cumulated sum tests which have been studied previously and where the asymptotic distribution involves nuisance quantities. Through simulation we show that the power is comparable in a wide of range of situations.

Keywords: Cumulated sum of squares; Non-linear Least Squares; Non-stationarity; Specification tests. (search for similar items in EconPapers)
JEL-codes: C01 C22 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2015-08-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.nuffield.ox.ac.uk/economics/papers/201 ... oNielsenCUSQ2015.pdf (application/pdf)

Related works:
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:nuf:econwp:1509

Access Statistics for this paper

More papers in Economics Papers from Economics Group, Nuffield College, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().