An integrated modified OLS RESET test for cointegrating regressions

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dc.contributor.authorVogelsang, Timothy J.
dc.contributor.authorWagner, Martin
dc.date.accessioned2014-11-05T13:14:49Z
dc.date.available2014-11-05T13:14:49Z
dc.date.issued2014-10
dc.description.abstractWe 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.identifier.urihttp://hdl.handle.net/2003/33676
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-6614
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;37/2014en
dc.subjectbandwidthen
dc.subjectspecification testen
dc.subjectkernelen
dc.subjectIM-OLSen
dc.subjectfixed-b asymptoticsen
dc.subjectcointegrationen
dc.subjectnonlinearityen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleAn integrated modified OLS RESET test for cointegrating regressionsen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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