Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/56871
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DC Field | Value | Language |
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dc.contributor.author | Gao, J. | - |
dc.contributor.author | King, M. | - |
dc.contributor.author | Lu, Z. | - |
dc.contributor.author | Tjostheim, D. | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | Annals of Statistics, 2009; 37(6B):3893-3928 | - |
dc.identifier.issn | 0090-5364 | - |
dc.identifier.uri | http://hdl.handle.net/2440/56871 | - |
dc.description | © Institute of Mathematical Statistics, 2009 | - |
dc.description.abstract | This paper considers a class of nonparametric autoregressive models with nonstationarity. We propose a nonparametric kernel test for the conditional mean and then establish an asymptotic distribution of the proposed test. Both the setting and the results differ from earlier work on nonparametric autoregression with stationarity. In addition, we develop a new bootstrap simulation scheme for the selection of a suitable bandwidth parameter involved in the kernel test as well as the choice of a simulated critical value. The finite-sample performance of the proposed test is assessed using one simulated example and one real data example. | - |
dc.description.statementofresponsibility | Jiti Gao, Maxwell King, Zudi Lu, and Dag Tjøstheim | - |
dc.description.uri | http://projecteuclid.org/euclid.aos/1256303531 | - |
dc.language.iso | en | - |
dc.publisher | Inst Mathematical Statistics | - |
dc.source.uri | http://dx.doi.org/10.1214/09-aos698 | - |
dc.subject | Cointegration | - |
dc.subject | kernel test | - |
dc.subject | nonparametric regression | - |
dc.subject | nonstationary time series | - |
dc.subject | time series econometrics | - |
dc.title | Specification testing in nonlinear and nonstationary time series autoregression | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1214/09-AOS698 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest Economics publications |
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