{"created":"2023-06-20T15:03:13.977516+00:00","id":1280,"links":{},"metadata":{"_buckets":{"deposit":"4e6b9078-dc4f-4ee0-9849-f57f02805cca"},"_deposit":{"created_by":16,"id":"1280","owners":[16],"pid":{"revision_id":0,"type":"depid","value":"1280"},"status":"published"},"_oai":{"id":"oai:grips.repo.nii.ac.jp:00001280","sets":["1:56"]},"author_link":["7177","7176"],"item_12_description_22":{"attribute_name":"著者情報","attribute_value_mlt":[{"subitem_description":"https://www.grips.ac.jp/list/jp/facultyinfo/arai_yoichi/","subitem_description_type":"Other"}]},"item_12_description_6":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"We propose a generalized version of the RESET test for linearity in regressions with I(1) processes against various nonlinear alternatives and no cointegration. The proposed test statistic for linearity is given by the Wald statistic and its limiting distribution under the null hypothesis is shown to be a X^2 distribution with a \"leads and lags\" estimation technique. We show that the test is consistent against a class of nonlinear alternatives and no cointegration. Finite-sample simulations show that the empirical size is close to the nominal one and the test succeeds in detecting both nonlinearity and no cointegration.","subitem_description_type":"Abstract"}]},"item_12_description_7":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"JEL Classification Codes: C22, C32","subitem_description_type":"Other"}]},"item_12_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"7177","nameIdentifierScheme":"WEKO"}],"names":[{"name":"荒井,  洋一","nameLang":"ja"}]}]},"item_12_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.24545/00001277","subitem_identifier_reg_type":"JaLC"}]},"item_12_publisher_12":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"GRIPS Policy Research Center ","subitem_publisher_language":"en"}]},"item_12_relation_16":{"attribute_name":"関連サイト","attribute_value_mlt":[{"subitem_relation_name":[{"subitem_relation_name_text":"https://ideas.repec.org/p/ngi/dpaper/15-11.html"}],"subitem_relation_type":"isIdenticalTo","subitem_relation_type_id":{"subitem_relation_type_id_text":"https://ideas.repec.org/p/ngi/dpaper/15-11.html","subitem_relation_type_select":"URI"}}]},"item_12_text_10":{"attribute_name":"発行年","attribute_value_mlt":[{"subitem_text_value":"2015-08"}]},"item_12_text_5":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"政策研究大学院大学 / National Graduate Institute for Policy Studies"}]},"item_12_version_type_19":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_ab4af688f83e57aa","subitem_version_type":"AM"}]},"item_1693541285410":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2015-08-12","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"DP15-11","bibliographic_titles":[{"bibliographic_title":"GRIPS Discussion Papers","bibliographic_titleLang":"en"}]}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"ARAI,  Yoichi","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_access","filename":"DP15-11.pdf","filesize":[{"value":"693.4 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DP15-11.pdf","url":"https://grips.repo.nii.ac.jp/record/1280/files/DP15-11.pdf"},"version_id":"189aaf21-fd11-4858-b227-4a267bb169cc"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Cointegration","subitem_subject_scheme":"Other"},{"subitem_subject":"I(1) processes","subitem_subject_scheme":"Other"},{"subitem_subject":"No cointegration","subitem_subject_scheme":"Other"},{"subitem_subject":"Nonlinear cointegration","subitem_subject_scheme":"Other"},{"subitem_subject":"RESET test","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report"}]},"item_title":"Testing for Linearity in Regressions with I(1) Processes","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Testing for Linearity in Regressions with I(1) Processes","subitem_title_language":"en"}]},"item_type_id":"12","owner":"16","path":["56"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2015-08-12"},"publish_date":"2015-08-12","publish_status":"0","recid":"1280","relation_version_is_last":true,"title":["Testing for Linearity in Regressions with I(1) Processes"],"weko_creator_id":"16","weko_shared_id":-1},"updated":"2023-12-13T05:18:46.944315+00:00"}