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TESTING FOR LINEARITY IN REGRESSIONS WITH I(1) PROCESSES

机译:使用I(1)过程测试回归线性

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摘要

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 chi(2) 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.
机译:我们提出了RESET测试的广义版本,用于针对具有各种非线性替代方案且没有协整的I(1)过程进行回归的线性。 Wald统计量给出了所建议的线性检验统计量,其在零假设下的极限分布显示为具有“超前和滞后”估计技术的chi(2)分布。我们证明了该测试对一类非线性替代方案是一致的,并且没有协整。有限样本仿真表明,经验值接近标称值,并且该测试成功地检测到非线性和没有协整。

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