Specification testing in nonlinear and nonstationary time series autoregression
Jiti Gao, Maxwell King, Zudi Lu, and Dag Tjøstheim
Source: Ann. Statist. Volume 37, Number 6B (2009), 3893-3928.
Abstract
This paper considers a class of nonparametric autoregressive models with nonstationarity. We propose a nonparametric kernel test for the conditional mean and then establish an asymptotic distribution of the proposed test. Both the setting and the results differ from earlier work on nonparametric autoregression with stationarity. In addition, we develop a new bootstrap simulation scheme for the selection of a suitable bandwidth parameter involved in the kernel test as well as the choice of a simulated critical value. The finite-sample performance of the proposed test is assessed using one simulated example and one real data example.
Primary Subjects: 62M10, 62G07
Secondary Subjects: 60F05
Keywords: Cointegration; kernel test; nonparametric regression; nonstationary time series; time series econometrics
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Permanent link to this document: http://projecteuclid.org/euclid.aos/1256303531
Digital Object Identifier: doi:10.1214/09-AOS698
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