Nonparametric pseudo-Lagrange multiplier stationarity testing

Manuel Landajo and María José Presno

MPRA Paper from University Library of Munich, Germany

Abstract: The framework of stationarity testing is extended to allow a generic smooth trend function estimated nonparametrically. The asymptotic behavior of the pseudo-Lagrange Multiplier test is analyzed in this setting. The proposed implementation delivers a consistent test whose limiting null distribution is standard normal. Theoretical analyses are complemented with simulation studies and some empirical applications.

Keywords: Time series; stationarity testing; limiting distribution; nonparametric regression; nonparametric hypothesis testing (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 2010-10-05
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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