Please use this identifier to cite or link to this item: http://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
RMID: 0020093408
DOI: 10.1017/S0266466609990363
Appears in Collections:Economics publications

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