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Abstract |
Using the marked empirical processes, this paper develops a test of parametric specification in a nonlinear cointegrating regression model. Unlike the kernel-smoothed $U$-statistic considered in Gao, et al. (2009) and Wang and Phillips (2012), our 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. Another contribution of this paper is to provide a rigorous proof on weak convergence for a class of martingales, which is interesting in its own rights. This is joint work with Ke Zhu and Dongsheng Wu. |
