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Residual-based test for Nonlinear Cointegration with application in PPPs
Dalarna University, School of Technology and Business Studies, Statistics.
2008 (English)Independent thesis Advanced level (degree of Master (Two Years))Student thesis
Abstract [en]

Nested by linear cointegration first provided in Granger (1981), the definition of nonlinear cointegration is presented in this paper. Sequentially, a nonlinear cointegrated economic system is introduced. What we mainly study is testing no nonlinear cointegration against nonlinear cointegration by residual-based test, which is ready for detecting stochastic trend in nonlinear autoregression models. We construct cointegrating regression along with smooth transition components from smooth transition autoregression model. Some properties are analyzed and discussed during the estimation procedure for cointegrating regression, including description of transition variable. Autoregression of order one is considered as the model of estimated residuals for residual-based test, from which the test statistic is obtained. Critical values and asymptotic distribution of the test statistic that we request for different cointegrating regressions with different sample sizes are derived based on Monte Carlo simulation. The proposed theoretical methods and models are illustrated by an empirical example, comparing the results with linear cointegration application in Hamilton (1994). It is concluded that there exists nonlinear cointegration in our system in the final results.

Place, publisher, year, edition, pages
2008.
Keyword [en]
Nonlinear cointegration, Common features, Regime transition, Residual-based test, Purchasing power parities
Identifiers
URN: urn:nbn:se:du-3433OAI: oai:dalea.du.se:3433DiVA: diva2:518452
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2008-10-03 Created: 2008-10-03 Last updated: 2012-04-24Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf