Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity

Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity

This article shows that when applied to nonstationary time series, the conventional Regression Error Specification Test (RESET) leads to severe size distortion and its asymptotic distribution involves a mixture of noncentral chi(2) distributions. Nonstationarity introduces bias terms in the limit di...

Full description

Saved in:
Bibliographic Details
Main Authors: HONG, Seong Hyun, Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Noncentral chi(2) distribution
Nonlinear cointegration
RESET test
Specification test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1812
https://ink.library.smu.edu.sg/context/soe_research/article/2811/viewcontent/Testing_Linearity_Cointegrating_PPP_av.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1812
https://ink.library.smu.edu.sg/context/soe_research/article/2811/viewcontent/Testing_Linearity_Cointegrating_PPP_av.pdf

Similar Items