Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
发现传统RESET检验用于非平稳时间序列时存在严重尺寸扭曲，提出修正的RESET检验，能有效检验非线性协整或协整缺失，并以五个OECD国家的购买力平价数据为例进行实证。
This article shows that when applied to nonstationary time series, the conventional Regression Error Spec-ification Test (RESET) leads to severe size distortion and its asymptotic distribution involves a mixture of noncentral χ2 distributions. Nonstationarity introduces bias terms in the limit distribution, and appropriate corrections for the bias are presented leading to a modified RESET test that has a central χ2 limit distri-bution. In simulations, this modified test is shown to have power not only against nonlinear cointegration but also against the absence of cointegration. In an empirical illustration, the linear purchasing power parity (PPP) specification is tested using five Organization for Economic Cooperation and Development (OECD) countries. KEY WORDS: Noncentral χ2 distribution; Nonlinear cointegration; RESET test; Specification test. 1.