Specification Testing for Nonlinear Cointegrating Regression

Qiying Wang () and Peter Phillips

No 1779, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test depends on the self intersection local time of a Gaussian process. A new weak convergence result is developed for certain partial sums of functions involving nonstationary time series that converges to the intersection local time process. This result is of independent interest and useful in other applications.

Keywords: Intersection local time; Kernel regression; Nonlinear nonparametric model; Ornstein-Uhlenbeck process; Specification tests; Weak convergence (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Pages: 66 pages
Date: 2011-01, Revised 2011-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Note: CFP 1359
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in The Annals of Statistics (2012), 40(2): 2, 727–758

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