Authors: Vogelsang, Timothy J.
Wagner, Martin
Title: An integrated modified OLS RESET test for cointegrating regressions
Language (ISO): en
Abstract: We propose a RESET-type test for the null hypothesis of linearity of a cointegrating relationship with an asymptotic chi-squared null distribution. The test is based on an extension of the Integrated Modified OLS estimator of Vogelsang and Wagner (2014) from linear cointegrating relationships to multivariate cointegrating polynomial relationships. For the case of full design we furthermore provide fixed-b asymptotic theory for our RESET test. The theoretical results are complemented by a small simulation study.
Subject Headings: bandwidth
specification test
fixed-b asymptotics
Issue Date: 2014-10
Appears in Collections:Sonderforschungsbereich (SFB) 823

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