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Article: On a measure of lack of fit in nonlinear cointegrating regression with endogeneity
Title | On a measure of lack of fit in nonlinear cointegrating regression with endogeneity |
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Authors | |
Keywords | Additive model cointegration consistency endogeneity long memory regressor |
Issue Date | 2020 |
Publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ |
Citation | Statistica Sinica, 2020, v. 30, p. 371-396 How to Cite? |
Abstract | This paper proposes a portmanteau test for the adequacy of nonlinear cointegrating regression models. The proposed test is applicable to a wide class of integrable and nonintegrable regression functions, with endogenous regressors driven by either short or long memory innovations. In addition, the limiting distribution of the test is shown to be approximated by a chisquared distribution. Moreover, the scope of the test is generalized to include an additive nonlinear cointegrating regression model, the consistency results of which are investigated as an independent interest. Finally, the effectiveness of the portmanteau test is demonstrated using simulations and real data. |
Persistent Identifier | http://hdl.handle.net/10722/288164 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 1.368 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Wang, Q | - |
dc.contributor.author | Zhu, K | - |
dc.date.accessioned | 2020-10-05T12:08:49Z | - |
dc.date.available | 2020-10-05T12:08:49Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Statistica Sinica, 2020, v. 30, p. 371-396 | - |
dc.identifier.issn | 1017-0405 | - |
dc.identifier.uri | http://hdl.handle.net/10722/288164 | - |
dc.description.abstract | This paper proposes a portmanteau test for the adequacy of nonlinear cointegrating regression models. The proposed test is applicable to a wide class of integrable and nonintegrable regression functions, with endogenous regressors driven by either short or long memory innovations. In addition, the limiting distribution of the test is shown to be approximated by a chisquared distribution. Moreover, the scope of the test is generalized to include an additive nonlinear cointegrating regression model, the consistency results of which are investigated as an independent interest. Finally, the effectiveness of the portmanteau test is demonstrated using simulations and real data. | - |
dc.language | eng | - |
dc.publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ | - |
dc.relation.ispartof | Statistica Sinica | - |
dc.subject | Additive model | - |
dc.subject | cointegration | - |
dc.subject | consistency | - |
dc.subject | endogeneity | - |
dc.subject | long memory regressor | - |
dc.title | On a measure of lack of fit in nonlinear cointegrating regression with endogeneity | - |
dc.type | Article | - |
dc.identifier.email | Zhu, K: mazhuke@hku.hk | - |
dc.identifier.authority | Zhu, K=rp02199 | - |
dc.description.nature | published_or_final_version | - |
dc.identifier.doi | 10.5705/ss.202017.0317 | - |
dc.identifier.scopus | eid_2-s2.0-85085106362 | - |
dc.identifier.hkuros | 314994 | - |
dc.identifier.volume | 30 | - |
dc.identifier.spage | 371 | - |
dc.identifier.epage | 396 | - |
dc.identifier.isi | WOS:000575675600017 | - |
dc.publisher.place | Taiwan, Republic of China | - |
dc.identifier.issnl | 1017-0405 | - |