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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Gao, Jiti | en |
dc.contributor.author | King, Maxwell L. | en |
dc.date.issued | 2008 | en |
dc.identifier.citation | Proceedings of the Markets and Models: Policy Frontiers in the AWH Phillips Tradition, 2008 (ESAM08) | en |
dc.identifier.uri | http://hdl.handle.net/2440/54580 | - |
dc.description.abstract | This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially avoid misspecification through the need to parametrically specify the form of the errors. In other words, we propose estimating the form of the errors and testing for stationarity or nonstationarity simultaneously. We establish asymptotic distributions of the proposed test. Both the setting and the results differ from earlier work on testing for unit roots in parametric time series regression. We provide both simulated and real–data examples to show that the proposed nonparametric unit–root test works in practice. | en |
dc.description.statementofresponsibility | Jiti Gao and Maxwell King | en |
dc.description.uri | http://www.phillips08.org.nz/ | en |
dc.language.iso | en | en |
dc.subject | Error process; nonparametric method; nonlinear time series; random walk; unit root test. | en |
dc.title | A new test in parametric linear models with nonparametric autoregressive errors | en |
dc.type | Conference paper | en |
dc.contributor.school | School of Economics | en |
dc.contributor.conference | ESAM08 (2008 : Wellington, New Zealand) | en |
Appears in Collections: | Economics publications |
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