Cointegration tests on MARS

descriptionPublicationkeyboard_double_arrow_right Article 01 Feb 1994 English Publisher:Springer Science and Business Media LLCJournal:Computational Economics, volume 7, pages 23-35 (issn: 0927-7099, eissn: 1572-9974,

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Authors: Sephton, Peter S.;

doi: 10.1007/bf01299327

Cointegration tests on MARS

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Abstract

Multivariate adaptive regression spline (MARS) models due to Friedman (1991) are employed to examine non-linear cointegration. Critical values of the Dickey-Fuller cointegration test statistics, appropriate to the MARS model, are presented. Several empirical examples demonstrate the gains to the non-linear modelling of economic time series.

Related Organizations

University of New Brunswick
Canada

Keywords

Economic time series analysis, Applications of statistics to economics

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