Specification testing for nonlinear multivariate cointegrating regressions

被引:8
作者
Dong, Chaohua [1 ]
Gao, Jiti [2 ]
Tjostheim, Dag [3 ]
Yin, Jiying [2 ]
机构
[1] Southwestern Univ Finance & Econ, Chengdu, Sichuan, Peoples R China
[2] Monash Univ, Clayton, Vic, Australia
[3] Univ Bergen, Bergen, Norway
基金
中国国家自然科学基金; 澳大利亚研究理事会;
关键词
Cointegration; Endogeneity; Nonparametric kernel estimation; Parametric model specification; Time series; TIME-SERIES; NONPARAMETRIC-ESTIMATION; ASYMPTOTIC THEORY; INTEREST-RATES; CONSUMPTION; INCOME; MISSPECIFICATION;
D O I
10.1016/j.jeconom.2017.05.016
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that the model accommodates endogeneity. A new and simple test is proposed, and the resulting asymptotic theory is established. The test statistic is constructed based on a natural distance function between a nonparametric estimate and a smoothed parametric counterpart. The asymptotic distribution of the test statistic under the parametric specification is proportional to that of a local-time random variable with a known distribution. In addition, the finite sample performance of the proposed test is evaluated using both simulated and real data examples. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码:104 / 117
页数:14
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