In this paper we propose residual-based tests for the null hypothesis of cointegration with a structural break against the alternative of no cointegration. The Lagrange Multiplier (LM) test is proposed and its limiting distribution is obtained for the case in which the timing of a structural...

Implications of nonlinearity, nonstationarity and misspecification are considered from a forecasting perspective. My model allows for small departures from the martingale difference sequence hypothesis by including a nonlinear component, formulated as a general, integrable transformation of the...

The properties of Granger-causality tests are examined when applied to integrated time series. Recently presented results suggesting spurious causality in such circumstances are shown to be highly dependent upon the absence of deterministic terms from the causality testing equations. The...

This paper establishes two simple and new specification tests based on the use of an orthogonal series. The paper then establishes an asymptotic theory for each of the proposed tests. The first test is initially proposed for the case where the regression function involved is integrable and the...

Economic and financial data often take the form of a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intraday volatility curves. Such curves can be viewed as a time series of functions. A fundamental issue that...

This paper proposes two simple and new specification tests based on the use of an orthogonal series for a considerable class of cointegrated time series models with endogeneity and nonsta-tionarity. The paper then establishes an asymptotic theory for each of the proposed tests. The first test is...

Implications of nonlinearity, nonstationarity and misspecification are considered from a forecasting perspective. Our model allows for small departures from the martingale difference sequence hypothesis by including a nonlinear component, formulated as a general, integrable transformation of the...

The purpose of this note is to contribute to modeling time series that may be characterized as integrated. In particular, a discussion about the use of standard distributions in regression models is included and some essential concepts are previously reviewed to this effect. The main objective...

This paper considers the nonlinear regression with integrated regressors that are contemporaneously correlated with the regression error. We, in particular, establish the consistency and derive the limiting distribution of the nonlinear least squares estimator under such endogeneity for the...