Testing for Neglected Nonlinearity in Cointegrating Relationships

DOI10.1111/J.1467-9892.2007.00532.XMaRDI QIDQ3505332zbMATH OpenOpenAlexFDO

Authors Andrew P. Blake, George Kapetanios

Publication date 18 June 2008

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/62872

zbMATH Keywords

bootstrapcointegrationneural networks

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A radial basis function artificial neural network test for ARCH
• A radial basis function artificial neural network test for neglected nonlinearity
• A useful estimate in the multidimensional invariance principle
• Approximation by superpositions of a sigmoidal function
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 928746 (Why is no real title available?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Multilayer feedforward networks are universal approximators
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Nonlinear Regressions with Integrated Time Series
• ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
• Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
• Sieve bootstrap for time series
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(6)

• Testing misspecified cointegrating relationships
• A neural network method for nonlinear time series analysis
• Finite sample properties of a simple LM test for neglected nonlinearity in error‐correcting regression equations
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Testing for cointegration in nonlinear asymmetric smooth transition error correction models
• Stochastically weighted average conditional moment tests of functional form

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