@article{9d32cfce77f24e2dacbd2825c4cbcc6d,
title = "Testing for linearity in regressions with i(1) processes",
abstract = "We propose a generalized version of the RESET test for linearity in regressions with I(1) processes against various nonlinear alternatives and no cointegration. The proposed test statistic for linearity is given by the Wald statistic and its limiting distribution under the null hypothesis is shown to be a χ2 distribution with a {"}leads and lags{"} estimation technique. We show that the test is consistent against a class of nonlinear alternatives and no cointegration. Finite-sample simulations show that theempirical sizeis closeto thenominal oneand thetest succeeds in detecting both nonlinearity and no cointegration.",
keywords = "Cointegration, I(1) processes, No cointegration, Nonlinear cointegration, RESET test",
author = "Yoichi Arai",
note = "Funding Information: I am especially grateful to Graham Elliott who motivated this paper. I also thank Clive Granger, Takeo Hoshi, Yixiao Sun, Halbert White and an anonymous referee for many helpful comments. The paper has benefited from presentations at Hitotsubashi University, Institute for Monetary and Economic Studies, Bank of Japan, Kyoto University and the University of Tokyo. This research was supported by Grants-in-Aid for Scientific Research No. 17730144 from the Japan Society for the Promotion of Science. Any remaining errors are my own. Publisher Copyright: {\textcopyright} Hitotsubashi University.",
year = "2016",
month = jun,
language = "English",
volume = "57",
pages = "111--138",
journal = "Hitotsubashi Journal of Economics",
issn = "0018-280X",
publisher = "Hitotsubashi University",
number = "1",
}