On a measure of lack of fit in nonlinear cointegrating regression with endogeneity

DOI10.5705/SS.202017.0317MaRDI QIDQ5220372zbMATH OpenOpenAlexWikidataFDO

Authors Qiying Wang, Ke Zhu

Publication date 16 March 2020

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202017.0317

zbMATH Keywords

consistencyendogeneitynonlinear regressionnonstationaritycointegrationadditive modelportmanteau testlong memory regressor

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) General nonlinear regression (62J02)

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Cited in

(2)

• Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
• Testing for Neglected Nonlinearity in Cointegrating Relationships

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