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Please use this identifier to cite or link to this item:
http://hdl.handle.net/1783.1/128
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| Title: | Testing linearity in cointegrating smooth transition regressions |
| Authors: | Choi, In
Saikkonen, Pentti |
| Keywords: | Linearity
Smooth transition regression model
Co-integration |
| Issue Date: | Dec-2001 |
| Abstract: | This paper develops statistical tests that can be used to test linearity in ageneral cointegrating smooth transition regression model. These tests extend previous similar tests by considering I(1) regressors instead of stationary or mixing regressors. As is typical in cointegrating regressions, the regressors and errors of the model can also be serially and contemporaneously correlated. In order to allow for this feature, an endogeneity correction based on a leads-andlags approach is employed. Additionally, the model of this paper has more general transition mechanisms than in previous studies. The proposed tests are very simple to use because ordinary least squares techniques and standard chisquare limiting distributions apply. Simulation experiments indicate that the tests have reasonable finite sample properties. Empirical applications to a U.S.money demand function illustrate the practical usefulness of the tests. |
| URI: | http://hdl.handle.net/1783.1/128 |
| Appears in Collections: | ECON Working Papers
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| ChoiSaikkonen.pdf | | 1059Kb | Adobe PDF | View/Open |
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