Specification testing in nonlinear and nonstationary time series autoregression

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dc.contributor.authorGao, J.
dc.contributor.authorKing, M.
dc.contributor.authorLu, Z.
dc.contributor.authorTjostheim, D.
dc.date.issued2009
dc.description© Institute of Mathematical Statistics, 2009
dc.description.abstractThis 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.statementofresponsibilityJiti Gao, Maxwell King, Zudi Lu, and Dag Tjøstheim
dc.description.urihttp://projecteuclid.org/euclid.aos/1256303531
dc.identifier.citationAnnals of Statistics, 2009; 37(6B):3893-3928
dc.identifier.doi10.1214/09-AOS698
dc.identifier.issn0090-5364
dc.identifier.urihttp://hdl.handle.net/2440/56871
dc.language.isoen
dc.publisherInst Mathematical Statistics
dc.source.urihttps://doi.org/10.1214/09-aos698
dc.subjectCointegration
dc.subjectkernel test
dc.subjectnonparametric regression
dc.subjectnonstationary time series
dc.subjecttime series econometrics
dc.titleSpecification testing in nonlinear and nonstationary time series autoregression
dc.typeJournal article
pubs.publication-statusPublished

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