DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
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Publication:3632422
DOI10.1017/S0266466608080547zbMath1284.62562MaRDI QIDQ3632422
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Sequential statistical analysis (62L10)
Related Items (10)
FUNCTIONAL FORM MISSPECIFICATION IN REGRESSIONS WITH A UNIT ROOT ⋮ Specification testing for nonlinear multivariate cointegrating regressions ⋮ Nonlinearity Induced Weak Instrumentation ⋮ Testing for Neglected Nonlinearity in Cointegrating Relationships ⋮ Dynamic misspecification in nonparametric cointegrating regression ⋮ TESTS FOR NONLINEAR COINTEGRATION ⋮ The Bierens test for certain nonstationary models ⋮ CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS ⋮ NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY ⋮ Nonparametric predictive regression
Cites Work
- Maximum Likelihood Specification Testing and Conditional Moment Tests
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Asymptotics for linear processes
- A CUSUM test for cointegration using regression residuals
- Spurious nonlinear regressions in econometrics
- Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
- Nonlinear econometric models with cointegrated and deterministically trending regressors
- Multiple Time Series Regression with Integrated Processes
- A Consistent Conditional Moment Test of Functional Form
- Nonlinear Regressions with Integrated Time Series
- ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
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