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Model checks for nonlinear cointegrating regression

Qiying Wang, Dongsheng Wu and Ke Zhu ()

Journal of Econometrics, 2018, vol. 207, issue 2, 261-284

Abstract: Using the marked empirical processes, this paper develops a test of parametric specification in a nonlinear cointegrating regression model. Unlike the kernel-smoothed U-statistic considered in Gao et al. (2009) and Wang and Phillips (2012), our new test statistic avoids the use of bandwidth, which has some advantages for practitioners. Simulations and a real data example show that our new test has a good finite sample performance. Other contributions of this paper are to provide a rigorous proof on weak convergence for a class of martingales and construct a simulated estimator of the limiting null distribution, which are interesting in their own rights.

Keywords: Cointegration; Nonlinear regression; Marked empirical process; Weak convergence; Specification testing; Model check (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2018
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