Testing for Neglected Nonlinearity in Cointegrating Relationships*
This article 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. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishers Ltd.
Year of publication: |
2007
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Authors: | Blake, Andrew P. ; Kapetanios, George |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 28.2007, 6, p. 807-826
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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