TY - JOUR
T1 - Nonparametric specification testing for nonlinear time series with nonstationarity
AU - Gao, Jiti
AU - King, Maxwell
AU - Lu, Zudi
AU - Tjøstheim, Dag
N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].
PY - 2009/12
Y1 - 2009/12
N2 - 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. © 2009 Cambridge University Press.
AB - 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. © 2009 Cambridge University Press.
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U2 - 10.1017/S0266466609990363
DO - 10.1017/S0266466609990363
M3 - RGC 21 - Publication in refereed journal
SN - 0266-4666
VL - 25
SP - 1869
EP - 1892
JO - Econometric Theory
JF - Econometric Theory
IS - 6
ER -