TESTS FOR NONLINEAR COINTEGRATION

By In Choi, Pentti Saikkonen. Econometric Theory, 2009

92 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/20698184d066230e6d3f345e9d26f6668d6797bb

How researchers see this paper

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In Economics and Econometrics

1. Martin Wagner
2. David I. Stern
3. A. Kander
4. Seung-Hyun Hong
5. Brantley Liddle
6. Muhammad Shahbaz
7. Zsuzsanna Csereklyei
8. S. Sorrell

In Finance

1. Seung-Hyun Hong
2. A. Kander
3. David I. Stern
4. Martin Wagner

Citations in the corpus

• Causality Between Energy and Output in the Long-Run (2013, unknown): “Clarke and Mirza (2006) show that, despite the additional parameters, the Toda–Yamamoto test shows little loss of power compared to the alternative of testing the restrictions on a VECM that imposes cointegrating restrictions.”
• COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE (2011, methodology): “Using only one of the subsample test statistics can be expected to lead to reduced power (compare to Choi and Saikkonen, 2010, p. 692).”
• The Role of Energy in the Industrial Revolution and Modern Economic Growth (2012, methodology): “Choi and Saikkonen (2010) provide the first cointegration tests for the general non-linear model. The procedure tests the null hypothesis of cointegration by testing whether the residuals of the equations are stationary. The test uses the same basic test statistic as the KPSS test (Kwiatkowski et al”