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Tests for Cointegration and the Initial ConditionsHung, Da-Wei 25 June 2007 (has links)
In stead of assuming the starting observations as zero, the
cointegration test statistic derived in this paper takes the
initial conditions into consideration. The statistic helps us
understand how the initial conditions affect the test and helps us
recognize whether the cointegration relationship exists in the
data generation process or not. Beside, with this statistic
derived with the concept of discriminant function and residual
based test, we can simulate our own critical value table in
according to what starting observations we have in hand, what
significant level we want and what value of rho we meet under
H_1.
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Residual-based test for Nonlinear Cointegration with application in PPPsLi, Dao January 2008 (has links)
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 teststatistic 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.
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