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dc.contributor.authorKasparis, Ioannisen
dc.contributor.authorPhillips, Peter C. B.en
dc.creatorKasparis, Ioannisen
dc.creatorPhillips, Peter C. B.en
dc.description.abstractLinear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) estimator for cointegrating regression under misspecified lag structure are derived, showing the NW estimator to be inconsistent, in general, with a "pseudo-true function" limit that is a local average of the true regression function. In this respect nonlinear cointegrating regression differs importantly from conventional linear cointegration which is invariant to time translation. When centred on the pseudo-true function and appropriately scaled, the NW estimator still has a mixed Gaussian limit distribution. The convergence rates are the same as those obtained under correct specification (hn, h is a bandwidth term) but the variance of the limit distribution is larger. The practical import of the results for index models, functional regression models, temporal aggregation and specification testing are discussed. Two nonparametric linearity tests are considered. The proposed tests are robust to dynamic misspecification. Under the null hypothesis (linearity), the first test has a χ2 limit distribution while the second test has limit distribution determined by the maximum of independently distributed χ2 variates. Under the alternative hypothesis, the test statistics attain a hn divergence rate. © 2012 Elsevier B.V. All rights reserved.en
dc.sourceJournal of Econometricsen
dc.subjectRegression analysisen
dc.subjectStatistical testsen
dc.subjectLocal timeen
dc.subjectNonlinear cointegrationen
dc.subjectFunctional regressionen
dc.subjectNon-parametric regressionen
dc.subjectNonparametric regressionen
dc.subjectDynamic misspecificationen
dc.subjectIntegrable functionen
dc.subjectIntegrable functionsen
dc.subjectIntegrated processen
dc.subjectLinearity testen
dc.subjectMixed normalityen
dc.titleDynamic misspecification in nonparametric cointegrating regressionen
dc.description.endingpage284Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and ManagementΤμήμα Οικονομικών / Department of Economics
dc.contributor.orcidKasparis, Ioannis [0000-0002-9792-4183]

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