Testing for Neglected Nonlinearity in Cointegrating Relationships
This paper 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.
|Date of creation:||Feb 2004|
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- Blake, Andrew P., 2002.
"A 'Timeless Perspective' on Optimality in Forward-Looking Rational Expectations Models,"
Royal Economic Society Annual Conference 2002
30, Royal Economic Society.
- Andrew Blake, 2001. "A Timeless Perspective on Optimality in Forward-Looking Rational Expectations Models," NIESR Discussion Papers 188, National Institute of Economic and Social Research.
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