An integrated modified OLS RESET test for cointegrating regressions

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DC Field	Value	Language
dc.contributor.author	Vogelsang, Timothy J.	-
dc.contributor.author	Wagner, Martin	-
dc.date.accessioned	2014-11-05T13:14:49Z	-
dc.date.available	2014-11-05T13:14:49Z	-
dc.date.issued	2014-10	-
dc.identifier.uri	http://hdl.handle.net/2003/33676	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-6614	-
dc.description.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.	en
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;37/2014	en
dc.subject	bandwidth	en
dc.subject	specification test	en
dc.subject	kernel	en
dc.subject	IM-OLS	en
dc.subject	fixed-b asymptotics	en
dc.subject	cointegration	en
dc.subject	nonlinearity	en
dc.subject.ddc	310	-
dc.subject.ddc	330	-
dc.subject.ddc	620	-
dc.title	An integrated modified OLS RESET test for cointegrating regressions	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 823

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