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Testing for Neglected Nonlinearity in Cointegrating Relationships

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Author Info
Andrew P. Blake
George Kapetanios

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Abstract

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. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishers Ltd.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2007.00532.x
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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 28 (2007)
Issue (Month): 6 (November)
Pages: 807-826
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Handle: RePEc:bla:jtsera:v:28:y:2007:i:6:p:807-826

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

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This page was last updated on 2009-11-22.

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