Testing multiple equation systems for common nonlinear components

DOI10.1016/S0304-4076(97)00076-6MaRDI QIDQ1379913zbMATH OpenFDO

Authors Heather M. Anderson, Farshid Vahid

Publication date 8 November 1999

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4076(97)00076-6

zbMATH Keywords

canonical correlationscommon nonlinear componentsgeneralized method of momentsmultiple time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Review text

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.

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Cited in

(22)

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• Global temperatures and greenhouse gases: a common features approach
• Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
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• A long-run pure variance common features model for the common volatilities of the Dow Jones
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• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

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• nlmdl

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