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.
|ジャーナル||Hitotsubashi Journal of Economics|
|出版ステータス||Published - 2016 6|
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