arXiv 17 Feb 2021 · Econometrics · publishedEconometric Reviews (2024) · 1 citations (OpenAlex)
arXiv:2102.08809 · PDF · DOI · OpenAlex · Extracted main text
This article discusses Shin (1994, Econometric Theory)-type tests for nonlinear cointegration in the presence of variance breaks. We build on cointegration test approaches under heteroskedasticity (Cavaliere and Taylor, 2006, Journal of Time Series Analysis) and nonlinearity, serial correlation, and endogeneity (Choi and Saikkonen, 2010, Econometric Theory) to propose a bootstrap test and prove its consistency. A Monte Carlo study shows the approach to have satisfactory finite-sample properties in a variety of scenarios. We provide an empirical application to the environmental Kuznets curves (EKC), finding that the cointegration test provides little evidence for the EKC hypothesis. Additionally, we examine a nonlinear relation between the US money demand and the interest rate, finding that our test does not reject the null of a smooth transition cointegrating relation
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Shin, Y (1994) A residual-based test of the null of cointegration against the alternative of no cointegration | 1.000 | 18 | 7 | 100% |
| 2 | Choi, I., Saikkonen, P (2010) Tests for nonlinear cointegration | 0.970 | 34 | 8 | 91% |
| 3 | Cavaliere, G., Taylor, A. M. R (2006) Testing the null of co-integration in the presence of variance breaks | 0.961 | 27 | 7 | 89% |
| 4 | Kwiatkowski, D., Phillips, P. C., Schmidt, P., Shin, Y (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series ha… | 0.941 | 6 | 5 | 83% |
| 5 | Saikkonen, P., Choi, I (2004) Cointegrating smooth transition regressions | 0.894 | 14 | 4 | 71% |
| 6 | Cavaliere, G (2005) Unit root tests under time-varying variances | 0.874 | 6 | 5 | 67% |
| 7 | Wagner, M (2015) The environmental Kuznets curve, cointegration and nonlinearity | 0.874 | 5 | 2 | 100% |
| 8 | Stypka, O., Wagner, M., Grabarczyk, P., Kawka, R (2017) standard | 0.843 | 3 | 3 | 100% |
| 9 | Wagner, M., Hong, S. H (2016) Cointegrating polynomial regressions: fully modified OLS estimation and inference | 0.843 | 3 | 3 | 100% |
| 10 | Phillips, P. C (1986) Understanding spurious regressions in econometrics | 0.737 | 3 | 3 | 67% |
Showing the top 10 of 52 scored citations.