Premium
Testing for Neglected Nonlinearity in Cointegrating Relationships *
Author(s) -
Blake Andrew P.,
Kapetanios George
Publication year - 2007
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2007.00532.x
Subject(s) - mathematics , nonlinear system , econometrics , sample (material) , cointegration , statistical hypothesis testing , nuisance parameter , statistics , physics , quantum mechanics , estimator , chemistry , chromatography
. 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.