Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying - Department of Econometrics and Business Statistics, … - 2014
This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...