Testing for Neglected Nonlinearity in Cointegrating Relationships

Andrew Peter Blake () and George Kapetanios ()
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George Kapetanios: Queen Mary, University of London, http://www.econ.qmul.ac.uk/staff/kapetanios/

No 508, Working Papers from Queen Mary, University of London, Department of Economics

Abstract: This paper proposes pure significance tests for the absence of nonlinearity in cointegrating relationships. No assumption of the functional form of the nonlinearity is made. It is envisaged that the application of such tests could form the first step towards specifying a nonlinear cointegrating relationship for empirical modelling. The asymptotic and small sample properties of our tests are investigated, where special attention is paid to the role of nuisance parameters and a potential resolution using the bootstrap.

Keywords: Cointegration; Nonlinearity; Neural networks; Bootstrap (search for similar items in EconPapers)
JEL-codes: C32 C45 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004-02

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Related works:
Journal Article: Testing for Neglected Nonlinearity in Cointegrating Relationships* (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:qmw:qmwecw:wp508

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