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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |