Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying

doi:10.26180/21521472.v1

Specification Testing for Nonlinear Multivariate Cointegrating Regressions

journal contribution

posted on 2022-11-09, 02:25 authored by Chaohua Dong, Jiti Gao, Dag Tjostheim, Jiying Yin

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate

History

Classification-JEL

C12, C14, C22

Creation date

2016-07-18

Working Paper Series Number

14/16

Length

85

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2016-14

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Keywords

cointegration endogeneity nonparametric kernel estimation parametric model specification time series

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In Copyright

Specification Testing for Nonlinear Multivariate Cointegrating Regressions

History

Classification-JEL

Creation date

Working Paper Series Number

Length

File-Format

Handle

Usage metrics

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Keywords

Licence

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