Nonparametric testing for linearity in cointegrated error-correction models

Keyphrases

• Test Statistic 100%
• Nonparametric Testing 100%
• Error Correction Model 100%
• Monte Carlo Simulation 33%
• Nonlinearity 33%
• Asymptotic Distribution 33%
• Finite Sample Performance 33%
• Stock Prices 33%
• Threshold Cointegration 33%
• Economic Applications 33%
• Nonparametric Test 33%
• Semi-parametric 33%
• Price Dividend 33%
• Smooth Transition 33%
• Vector Error Correction Model 33%
• Null Model 33%
• Error Correction 33%
• Standard Distribution 33%
• Smooth Functionals 33%
• Alternate Distribution 33%
• Nonlinear Specification 33%
• Functional Form 33%
• Cointegration Model 33%
• Nonlinear Model 33%

Economics, Econometrics and Finance

• Nonlinearity 100%

Mathematics

• Nonlinear Model 33%