- 著者
- ARAI Yoichi
- 出版者
- GRIPS Policy Research Center
- 雑誌
- GRIPS Discussion Papers
- 巻号頁・発行日
- vol.15-11, 2015-08
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.
- 著者
- ARAI Yoichi ICHIMURA Hidehiko
- 出版者
- GRIPS Policy Research Center
- 雑誌
- GRIPS Discussion Papers
- 巻号頁・発行日
- vol.15-13, 2015-09
A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. The method chooses two bandwidths simultaneously, one for each side of the cut-off point by using a criterion based on the estimated asymptotic mean square error taking into account a second-order bias term. A simulation study demonstrates the usefulness of the proposed method.