Journal
JOURNAL OF ECONOMETRICS
Volume 207, Issue 2, Pages 261-284Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2018.08.002
Keywords
Cointegration; Nonlinear regression; Marked empirical process; Weak convergence; Specification testing; Model check
Categories
Funding
- Australian Research Council
- NSFC, China [11571348, 11371354, 11690014, 11731015, 71532013]
- Research Grants Council of the Hong Kong SAR Government [HKU17306818]
- Seed Fund for Basic Research, Hong Kong [201611159233]
- Hung Hing Ying Physical Sciences Research Fund 2017-18
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Using the marked empirical processes, this paper develops a test of parametric specification in a nonlinear cointegrating regression model. Unlike the kernel-smoothed U-statistic considered in Gao et al. (2009) and Wang and Phillips (2012), our new test statistic avoids the use of bandwidth, which has some advantages for practitioners. Simulations and a real data example show that our new test has a good finite sample performance. Other contributions of this paper are to provide a rigorous proof on weak convergence for a class of martingales and construct a simulated estimator of the limiting null distribution, which are interesting in their own rights. (C) 2018 Elsevier B.V. All rights reserved.
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