Testing for linearity in regressions with i(1) processes

Yoichi Arai*

*この研究の対応する著者

研究成果: Article査読

抄録

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.

本文言語English
ページ(範囲)111-138
ページ数28
ジャーナルHitotsubashi Journal of Economics
57
1
出版ステータスPublished - 2016 6
外部発表はい

ASJC Scopus subject areas

  • ビジネス、管理および会計(全般)
  • 経済学、計量経済学

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