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Title:Testing for neglected nonlinearity in cointegrating relationships PDF Logo
Authors:Blake, Andrew P.
Kapetanios, George
Issue Date:2004
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 508
Abstract:This paper proposes pure significance tests for the absence of nonlinearity in cointegrating relationships. No assumption of the functional form of the nonlinearity is made. It is envisaged that the application of such tests could form the first step towards specifying a nonlinear cointegrating relationship for empirical modelling. The asymptotic and small sample properties of our tests are investigated, where special attention is paid to the role of nuisance parameters and a potential resolution using the bootstrap.
Subjects:Cointegration, Nonlinearity, Neural networks, Bootstrap
JEL:C32
C45
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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