Testing multiple equation systems for common nonlinear components
type: Item
instance of: scholarly article
title: Testing multiple equation systems for common nonlinear components
zbMATH Open document ID: 0924.62089
DOI: 10.1016/S0304-4076(97)00076-6
author: Heather M. Anderson
author: Farshid Vahid
published in: Journal of Econometrics
publication date: 1999-11-08T00:00:00Z
review text: The paper considers a multivariate nonlinear system of regression equations which contains common nonlinear components. A generalized method of moments (GMM) test for common components in multiple time series is provided. The test statistic is derived in terms of canonical correlations between the series and a judicially chosen set of test regressors. The test performance for small samples is evaluated using Monte Carlo simulations. The authors show how to adapt and use the GMM test to investigate if nonlinear components in multivariate systems are common, and illustrate the usefulness of the proposed test with two applications for US and Canadian business cycles and for a single nonlinear factor model as part of an empirical real business cycle model.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 1124509
zbMATH Keywords: generalized method of moments
zbMATH Keywords: multiple time series
zbMATH Keywords: common nonlinear components
zbMATH Keywords: canonical correlations
describes a project that uses: nlmdl
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1124509