We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration framework of Harris, McCabe, and Leybourne (2002, Journal of Econometrics 111, 363-384). This nonlinear setup allows for volatility in excess of that catered for by the standard integration/cointegration paradigm through the introduction of nonstationary heteroskedasticity. We propose a test for stochastic cointegration against the alternative of no cointegration and a secondary test for stationary cointegration against the heteroskedastic alternative. Asymptotic distributions of these tests under their respective null hypotheses are derived, and consistency under their respective alternatives is established. Monte Carlo evidence suggests that the tests will perform well in practice. An empirical application to the term structure of interest rates is also given.
机构:
TU Wien, Inst Stat & Math Methods Econ, Vienna, Austria
TU Wien, Inst Stat & Math Methods Econ, Wiedner Hauptstr 8-10, A-1040 Vienna, AustriaTU Wien, Inst Stat & Math Methods Econ, Vienna, Austria
机构:
Kwara State Univ, Fac Pure & Appl Sci, Dept Stat & Math Sci, Malete 1530, NigeriaKwara State Univ, Fac Pure & Appl Sci, Dept Stat & Math Sci, Malete 1530, Nigeria
Olaniran, Saidat Fehintola
Olaniran, Oyebayo Ridwan
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Univ Ilorin, Fac Phys Sci, Dept Stat, Ilorin 1515, NigeriaKwara State Univ, Fac Pure & Appl Sci, Dept Stat & Math Sci, Malete 1530, Nigeria
Olaniran, Oyebayo Ridwan
Allohibi, Jeza
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Taibah Univ, Dept Math, Fac Sci, Al Medinah Al Munawara 42353, Saudi ArabiaKwara State Univ, Fac Pure & Appl Sci, Dept Stat & Math Sci, Malete 1530, Nigeria
Allohibi, Jeza
Alharbi, Abdulmajeed Atiah
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Taibah Univ, Dept Math, Fac Sci, Al Medinah Al Munawara 42353, Saudi ArabiaKwara State Univ, Fac Pure & Appl Sci, Dept Stat & Math Sci, Malete 1530, Nigeria
Alharbi, Abdulmajeed Atiah
Ismail, Mohd Tahir
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Univ Sains Malaysia, Sch Math Sci, Gelugor 11800, Pulau Pinang, MalaysiaKwara State Univ, Fac Pure & Appl Sci, Dept Stat & Math Sci, Malete 1530, Nigeria