Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5095503 | Journal of Econometrics | 2017 | 31 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Chaohua Dong, Jiti Gao, Dag Tjøstheim, Jiying Yin,