Properties of cointegration tests in misspecified nonlinear models

2009 Fiscal Year Final Research Report

• Project/Area Number: 20730146
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Economic statistics
• Research Institution: University of the Ryukyus
• Principal Investigator: MAKI Daiki University of the Ryukyus, 経済学部, 講師 (60423737)
• Project Period (FY): 2008 – 2009
• Keywords: 共和分 / 非線形 / モデル特定化

Research Abstract

This research investigated properties of cointegration tests in misspecified nonlinear models. In addition, this study provided evidence that which cointegration tests were useful when cointegration models were unknown a priori.

Research Products

• [Journal Article] An alternative procedure to test for cointegration in STAR models (2010)
  • Author(s): Daiki Maki
  • Journal Title: Mathematics and Computers in Simulation 80 Pages: 999-1006
• [Journal Article] Some properties of a unit root test with multiple level shiftsin the presence of Markov level shifts (2009)
  • Author(s): Daiki Maki
  • Journal Title: Mathematics and Computers in Simulation 79 Pages: 1754-1760
• [Journal Article] Detection of stationarity in nonlinear models: A comparison between structural breaks and three-regime TAR models
  • Author(s): Daiki Maki
  • Journal Title: Studies in nonlinear Dynamics and Econometrics (forthcoming)
• [Presentation] Residual-based tests for cointegration in three-regime TAR models (2009)
  • Author(s): 牧大樹
  • Organizer: 日本経済学会
  • Place of Presentation: 京都大学
  • Year and Date: 2009-06-07
• [Presentation] Persistence and power performance of unit root tests in misspecified structural breaks and three-regime TAR models (2008)
  • Author(s): 牧大樹
  • Organizer: 日本経済学会
  • Place of Presentation: 東北大学
  • Year and Date: 2008-06-01