A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES

Yiguo Sun, Zongwu Cai and Qi Li

Econometric Theory, 2016, vol. 32, issue 4, 988-1022

Abstract: In this paper, we propose a simple nonparametric test for testing the null hypothesis of constant coefficients against nonparametric smooth coefficients in a semiparametric varying coefficient model with integrated time series. We establish the asymptotic distributions of the proposed test statistic under both null and alternative hypotheses. Moreover, we derive a central limit theorem for a degenerate second order U-statistic, which contains a mixture of stationary and nonstationary variables and is weighted locally on a stationary variable. This result is of independent interest and useful in other applications. Monte Carlo simulations are conducted to examine the finite sample performance of the proposed test.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:32:y:2016:i:04:p:988-1022_00

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