Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity

Jiti Gao, Maxwell King, Zudi Lu and Dag Tjøstheim
Additional contact information
Zudi Lu: Curtin University of Technology
Dag Tjøstheim: The University of Bergen

No 2009-03, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: This paper considers a nonparametric time series regression model with a nonstationary regressor. We construct a nonparametric test for testing 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.

Keywords: integrated regressor; kernel test; nonparametric regression; nonstationary time series; random walk (search for similar items in EconPapers)
Pages: 37 pages
Date: 2009
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Citations: View citations in EconPapers (30)

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Journal Article: NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY (2009)
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