Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/56759
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Type: | Journal article |
Title: | Nonparametric specification testing for nonlinear time series with nonstationarity |
Author: | Gao, J. King, M. Lu, Z. Tjostheim, D. |
Citation: | Econometric Theory, 2009; 25(6 Suppl):1869-1892 |
Publisher: | Cambridge Univ Press |
Issue Date: | 2009 |
ISSN: | 0266-4666 1469-4360 |
Statement of Responsibility: | Jiti Gao, Maxwell King, Zudi Lu and Dag Tjøstheim |
Abstract: | This paper considers a nonparametric time series regression model with a nonstationary regressor. We construct a nonparametric test for whether the regression is of a known parametric form indexed by a vector of unknown parameters. We establish the asymptotic distribution of the proposed test statistic. Both the setting and the results differ from earlier work on nonparametric time series regression with stationarity. In addition, we develop a bootstrap simulation scheme for the selection of suitable bandwidth parameters involved in the kernel test as well as the choice of simulated critical values. An example of implementation is given to show that the proposed test works in practice. |
Rights: | Copyright © Cambridge University Press 2009 |
DOI: | 10.1017/S0266466609990363 |
Published version: | http://dx.doi.org/10.1017/s0266466609990363 |
Appears in Collections: | Aurora harvest Economics publications |
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hdl_56759.pdf | Published version | 177.73 kB | Adobe PDF | View/Open |
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