DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS

DOI10.1017/S0266466608080547zbMath1284.62562MaRDI QIDQ3632422

Ioannis Kasparis

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

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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