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030 Department Bulletin Papers = 本学紀要論文
*Hitotsubashi journal of economics
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Identifier to cite or link to this item: https://doi.org/10.15057/27943
Identifier to cite or link to this item: https://hdl.handle.net/10086/27943
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cover_27943
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Title
TESTING FOR LINEARITY IN REGRESSIONS WITH I(1) PROCESSES
Creator
Creator Name
ARAI, YOICHI
ARAI, YOICHI
Affiliation
Affiliation Name
National Graduate Institute for Policy Studies (GRIPS)
Key Word
cointegration
I(1) processes
no cointegration
nonlinear cointegration
RESET test
JEL
C22
C32
Abstract
We propose a generalized version of the RESET test for linearity in regressions with I(1) processes against various nonlinear alternatives and no cointegration. The proposed test statistic for linearity is given by the Wald statistic and its limiting distribution under the null hypothesis is shown to be a χ2 distribution with a "leads and lags" estimation technique. We show that the test is consistent against a class of nonlinear alternatives and no cointegration. Finite-sample simulations show that the empirical size is close to the nominal one and the test succeeds in detecting both nonlinearity and no cointegration.
Publisher
Hitotsubashi University
Issued Date
2016-06
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/27943
ISSN
0018-280x
NCID
AA00207547
Source Title
Hitotsubashi Journal of Economics
Volume Number
57
Issue Number
1
Page Start
111
Page End
138
Appears in Collections
Vol. 57, no. 1 (Jun. 2016)
URL
https://hdl.handle.net/10086/27943
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