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Type: Journal article
Title: Specification testing in nonlinear and nonstationary time series autoregression
Author: Gao, J.
King, M.
Lu, Z.
Tjostheim, D.
Citation: Annals of Statistics, 2009; 37(6B):3893-3928
Publisher: Inst Mathematical Statistics
Issue Date: 2009
ISSN: 0090-5364
Statement of
Jiti Gao, Maxwell King, Zudi Lu, and Dag Tjøstheim
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.
Keywords: Cointegration
kernel test
nonparametric regression
nonstationary time series
time series econometrics
Description: © Institute of Mathematical Statistics, 2009
DOI: 10.1214/09-AOS698
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Appears in Collections:Aurora harvest
Economics publications

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