Title: Model checks for nonlinear cointegrating regression
Authors: Ke Zhu - University of Hong Kong (Hong Kong) [presenting]
Abstract: Using the marked empirical processes, a test of parametric specification in a nonlinear cointegrating regression model is developed. Unlike the kernel-smoothed U-statistic, the new test statistic avoids the use of bandwidth, which has some advantages for practitioners. Simulations and a real data example show that our new test has a good finite sample performance. Other contributions are to provide a rigorous proof on weak convergence for a class of martingales and construct a simulated estimator of the limiting null distribution, which are interesting in their own rights.