Nonparametric Testing for Linearity in Cointegrated Error-Correction Models
The principal objective of this study is to explore nonparametric testing for linearity in the long-run relationship of the cointegrated vector error-correction model. We develop nonparametric tests, which are predicated on general nonlinear specification, and thus nonlinear models such as the smooth transition and threshold cointegration models are contained in our specification. The test statistics can be computed using the null model of standard error correction. The asymptotic distribution of the test statistics is based on the standard distribution, and thus the proposed tests do not involve semiparametric treatment for the resolution of inferential difficulty. The alternative distribution of the test statistics is explored under the local drift and the smooth functional form. The Monte Carlo simulation shows that the proposed tests evidence adequate finite sample performance in detecting omitted nonlinearity. An economic application to the stock price-dividend relation is also provided.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 15 (2011)
Issue (Month): 2 (March)
|Contact details of provider:|| Web page: http://www.degruyter.com |
|Order Information:||Web: http://www.degruyter.com/view/j/snde|
When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:15:y:2011:i:2:n:6. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.