Nonparametric Testing for Linearity in Cointegrated Error-Correction Models

Seo Byeongseon ()
Additional contact information
Seo Byeongseon: Korea University

Studies in Nonlinear Dynamics & Econometrics, 2011, vol. 15, issue 2, 28

Abstract: The principal objective of this study is to explore nonparametric testing for linearity in the long-run relationship of the cointegrated vector error-correction model. We develop nonparametric tests, which are predicated on general nonlinear specification, and thus nonlinear models such as the smooth transition and threshold cointegration models are contained in our specification. The test statistics can be computed using the null model of standard error correction. The asymptotic distribution of the test statistics is based on the standard distribution, and thus the proposed tests do not involve semiparametric treatment for the resolution of inferential difficulty. The alternative distribution of the test statistics is explored under the local drift and the smooth functional form. The Monte Carlo simulation shows that the proposed tests evidence adequate finite sample performance in detecting omitted nonlinearity. An economic application to the stock price-dividend relation is also provided.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.2202/1558-3708.1598 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

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:bpj:sndecm:v:15:y:2011:i:2:n:6

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.2202/1558-3708.1598

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().