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Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses

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Author Info
George Kapetanios (Queen Mary University of London)
Abstract

This paper introduces bootstrap neural network pure significance tests for the no cointegration hypothesis against nonlinear cointegration alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 7 (2003)
Issue (Month): 2 ()
Pages: 1099-1099
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Handle: RePEc:bep:sndecm:7:2003:2:1099-1099

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Keywords: Nonlinearity Nonstationarity Cointegration

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April. [Downloadable!] (restricted)
  2. Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225. [Downloadable!] (restricted)
    Other versions:
  3. Kapetanios, G., 1999. "Model Selection in Threshold Models," Cambridge Working Papers in Economics 9906, Faculty of Economics, University of Cambridge. [Downloadable!]
  4. Li, Hongyi & Maddala, G. S., 1997. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 80(2), pages 297-318, October. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Seung Hyun Hong & Peter C. B. Phillips, 2005. "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers 1541, Cowles Foundation, Yale University. [Downloadable!]
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This page was last updated on 2008-11-19.

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