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Cumulated sum of squares statistics for non-linear and non-stationary regressions

Author

Listed:
  • Vanessa Berenguer-Rico

    (Dept of Economics, Mansfield College and Programme for Economic Modelling, Oxford University)

  • Bent Nielsen

    () (Dept of Economics, Nuffield College, Institute Programme for Economic Modelling, Oxford University)

Abstract

We show that the cumulated sum of squares test has a standard Brownian bridge-type asymptotic distribution in non-linear regression models with non-stationary regressors. This contrasts with cumulated sum tests which have been studied previously and where the asymptotic distribution involves nuisance quantities. Through simulation we show that the power is comparable in a wide of range of situations.

Suggested Citation

  • Vanessa Berenguer-Rico & Bent Nielsen, 2015. "Cumulated sum of squares statistics for non-linear and non-stationary regressions," Economics Papers 2015-W09, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:1509
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    References listed on IDEAS

    as
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    Cited by:

    1. Jean-Yves Pitarakis, 2017. "A Simple Approach for Diagnosing Instabilities in Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(5), pages 851-874, October.
    2. Pitarakis, Jean-Yves & Gonzalo, Jesús, 2020. "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics 31554, Universidad Carlos III de Madrid. Departamento de Economía.
    3. Jean-Yves Pitarakis, 2020. "A Novel Approach to Predictive Accuracy Testing in Nested Environments," Papers 2008.08387, arXiv.org.

    More about this item

    Keywords

    Cumulated sum of squares; Non-linear Least Squares; Non-stationarity; Specification tests.;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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