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- W2790663752 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. Other contributions of this paper are to provide a rigorous proof on weak convergence for a class of martingales and construct a simulated estimator of the limiting null distribution, which are interesting in their own rights." @default.
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- W2790663752 date "2018-07-01" @default.
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- W2790663752 title "Issue of the Annals of Econometrics on Indirect Estimation Methods in Finance and Economics" @default.
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- W2790663752 doi "https://doi.org/10.1016/j.jeconom.2018.03.002" @default.
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