Testing for nonlinear cointegration under heteroskedasticity
提出一种基于自助法的检验方法，用于在方差突变存在时检验非线性协整关系，蒙特卡洛模拟显示其有限样本性质良好，并在环境库兹涅茨曲线和美国货币需求与利率关系两个实证中应用。
This article discusses Shin (1994, Econometric Theory)-type tests for nonlinear cointegration in the presence of variance breaks. We build on cointegration test approaches under heteroskedasticity (Cavaliere and Taylor, 2006, Journal of Time Series Analysis) and nonlinearity, serial correlation, and endogeneity (Choi and Saikkonen, 2010, Econometric Theory) to propose a bootstrap test and prove its consistency. A Monte Carlo study shows the approach to have satisfactory finite-sample properties in a variety of scenarios. We provide an empirical application to the environmental Kuznets curves (EKC), finding that the cointegration test provides little evidence for the EKC hypothesis. Additionally, we examine a nonlinear relation between the US money demand and the interest rate, finding that our test does not reject the null of a smooth transition cointegrating relation.