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

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

62L10: Sequential statistical analysis

Related Items

Nonlinearity Induced Weak Instrumentation, CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS, Dynamic misspecification in nonparametric cointegrating regression, The Bierens test for certain nonstationary models, Nonparametric predictive regression, Specification testing for nonlinear multivariate cointegrating regressions, FUNCTIONAL FORM MISSPECIFICATION IN REGRESSIONS WITH A UNIT ROOT, Testing for Neglected Nonlinearity in Cointegrating Relationships, TESTS FOR NONLINEAR COINTEGRATION, NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY

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