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Testing for Linearity in Regressions with I (1) processes
http://hdl.handle.net/2261/2578
http://hdl.handle.net/2261/25783dd79f9b-a61d-417e-8fc9-52f6c7930bb0
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | Testing for Linearity in Regressions with I (1) processes | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Cointegration | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | I(1) processes | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | No cointegration | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Nonlinear cointegration | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | RESET test | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classification Numbers: C22, C32 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Arai, Yoichi
× Arai, Yoichi |
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著者所属 | ||||||
著者所属 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper 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 of linearity is shown to be a x2 distribution when a "leads and lags" estimation technique is employed to construct the test statistic. We show that the test is consistent against a class of nonlinear alternatives and no cointegration. This class includes polynomial functions of finite order, the logarithmic function, and the distribution function of any random variable and its scalar multiple. Finite?sample simulations show that the empirical size of the test is close to the nominal one and the test succeeds in detecting both nonlinearity in the class and no cointegration. We apply the test to see if relationships between exchange rates and fundamentals are linear and find significant evidence against linearity for all countries considered. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 2004-CF-303, 発行日 2004-10 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2004/2004cf303ab.html |