SPECIFICATION TESTING IN NONLINEAR AND NONSTATIONARY TIME SERIES AUTOREGRESSION

被引：41

作者：

Gao, Jiti ^{[1
]}

King, Maxwell ^{[2
]}

Lu, Zudi ^{[3
]}

Tjostheim, Dag ^{[4
]}

机构：

[1] Univ Adelaide, Sch Econ, Adelaide, SA 5005, Australia

[2] Monash Univ, Off Deputy Vice Chancellor Res, Melbourne, Vic 3800, Australia

[3] Curtin Univ Technol, Dept Math & Stat, Perth, WA 6450, Australia

[4] Univ Bergen, Dept Math, N-5007 Bergen, Norway

来源：

ANNALS OF STATISTICS | 2009年 / 37卷 / 6B期

基金：

澳大利亚研究理事会;

关键词：

Cointegration; kernel test; nonparametric regression; nonstationary time series; time series econometrics; NONPARAMETRIC-ESTIMATION;

D O I：

10.1214/09-AOS698

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：3893 / 3928

页数：36

共 28 条

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[Anonymous], 1990, Time Series: Theory and Methods

[2]

Arapis M., 2006, J FINANC ECONOMET, V4, P310, DOI [10.1093/jjfinec/nbj007, DOI 10.1093/JJFINEC/NBJ007]

[3] Fully nonparametric estimation of scalar diffusion models [J].