Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity

DOI10.1198/jbes.2009.07182zbMath1198.62095OpenAlexW3122227027MaRDI QIDQ3160933

Seung-Hyun Hong, Peter C. B. Phillips

Publication date: 11 October 2010

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1812

zbMATH Keywords

nonlinear cointegrationspecification testnoncentral \(\chi^{2}\) distributionRESET test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (11)

ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES ⋮ Estimating smooth structural change in cointegration models ⋮ Specification testing for nonlinear multivariate cointegrating regressions ⋮ SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY ⋮ Estimation and test for quantile nonlinear cointegrating regression ⋮ COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE ⋮ A specification test for nonlinear nonstationary models ⋮ A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES ⋮ Unit root tests for ESTAR models ⋮ Bootstrap tests for time varying cointegration ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

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