Testing multiple equation systems for common nonlinear components (Q1379913)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Testing multiple equation systems for common nonlinear components
scientific article

    Statements

    Testing multiple equation systems for common nonlinear components (English)
    0 references
    0 references
    0 references
    8 November 1999
    0 references
    The paper considers a multivariate nonlinear system of regression equations which contains common nonlinear components. A generalized method of moments (GMM) test for common components in multiple time series is provided. The test statistic is derived in terms of canonical correlations between the series and a judicially chosen set of test regressors. The test performance for small samples is evaluated using Monte Carlo simulations. The authors show how to adapt and use the GMM test to investigate if nonlinear components in multivariate systems are common, and illustrate the usefulness of the proposed test with two applications for US and Canadian business cycles and for a single nonlinear factor model as part of an empirical real business cycle model.
    0 references
    generalized method of moments
    0 references
    multiple time series
    0 references
    common nonlinear components
    0 references
    canonical correlations
    0 references

    Identifiers