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Working Paper Series, School of Economics and Finance, Queen Mary, University of London >
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http://hdl.handle.net/10419/62872
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| Title: | | Testing for neglected nonlinearity in cointegrating relationships  |
| 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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