Testing for Neglected Nonlinearity in Cointegrating Relationships

20 Pages Posted: 17 Oct 2007

See all articles by Andrew P. Blake

Andrew P. Blake

Bank of England - CCBS

George Kapetanios

King's College, London

Date Written: 0000

Abstract

This article 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 modeling. 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.

Suggested Citation

Blake, Andrew P. and Kapetanios, George, Testing for Neglected Nonlinearity in Cointegrating Relationships (0000). Journal of Time Series Analysis, Vol. 28, Issue 6, pp. 807-826, November 2007, Available at SSRN: https://ssrn.com/abstract=1021839 or http://dx.doi.org/10.1111/j.1467-9892.2007.00532.x

Andrew P. Blake (Contact Author)

Bank of England - CCBS ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

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