Cointegration Tests on MARS

Peter Sephton ()

Computational Economics, 1994, vol. 7, issue 1, 23-35

Abstract: Multivariate adaptive regression spline (MARS) models due to Friedman (1991) are employed to examine non-linear cointegration. Critical values of the Dickey-Fuller cointegration test statistics, appropriate to the MARS model, are presented. Several empirical examples demonstrate the gains to the non-linear modelling of economic time series. Citation Copyright 1994 by Kluwer Academic Publishers.

Date: 1994
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