This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated....

The martingale difference restriction is an outcome of many theoretical analyses in economics and finance. A large body of econometric literature deals with tests of that restriction. We provide new tests based on radial basis function (RBF) neural networks. Our work is based on the test design...

Most work in the area of nonlinear econometric modeling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2004) and Psaradakis, Sola, and Spagnolo (2005) has considered the possibility of estimating nonlinear models by methods...