Specification Testing in Parametric Trending Models with Unknown Errors

Jiti Gao and Maxwell King

A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 151-202 from Emerald Group Publishing Limited

Abstract: This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is established and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially avoid misspecification through the need to parametrically specify the form of the errors. In other words, we estimate the form of the errors and test for stationarity or nonstationarity simultaneously. We establish asymptotic distributions of the proposed test. Both the setting and the results differ from earlier work on testing for unit roots in parametric time series regression. We provide both simulated and real-data examples to show that the proposed nonparametric unit root test works in practice.

Keywords: Autoregressive process; nonlinear time series; nonparametric method; random walk; semiparametric model; unit root test; C12; C14; C22 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-905320140000033006

DOI: 10.1108/S0731-905320140000033006

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