We propose an improved model selection test for dynamic models using a new asymptotic approximation to the sampling distribution of a new test statistic. The model selection test is applicable to dynamic models with very general selection criteria and estimation methods. Since our test statistic...

This paper develops an asymptotic theory for a general class of nonlinear non-stationary regressions, extending earlier work by Phillips and Hansen (1990) on linear coin-tegrating regressions.The model considered accommodates a linear time trend and stationary regressors, as well as multiple...