Testing for cointegration using partially linear models [An article from: Journal of Econometrics]

This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
A partially linear model of cointegration is developed where stationary covariates enter nonparametrically. We propose tests for cointegration using singular values of the estimated autoregressive matrix. The tests are based on eigenvalues of standardized matrices and are relatively simple to compute. Asymptotic theory of the proposed test is developed. It is shown that the limiting distribution of the proposed test is similar to that of several tests in the recent literature. A Gamma approximation of the distribution is discussed to facilitate inference. Finite sample properties of the proposed procedure are illustrated in some limited Monte Carlo experiments. An empirical application to US macroeconomic time series is conducted to highlight the approach.