Testing for Neglected Nonlinearity in Cointegrating Relationships

Andrew Blake and George Kapetanios

No 508, Working Papers from Queen Mary University of London, School of Economics and Finance

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)
Date: 2004-02-01
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Journal Article: Testing for Neglected Nonlinearity in Cointegrating Relationships* (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:508

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