Kristensen, Dennis; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2010
hypothesis testing is considered, where testing for linearity is of particular interest as parameters of non-linear components … vanish under the null. To solve the latter type of testing, we use the so-called sup tests, which here requires development … to the impact of the estimated cointegration relations. With respect to testing, this makes implementation of testing …