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NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY

Published online by Cambridge University Press:  01 December 2009

Jiti Gao ,
Maxwell King ,
Zudi Lu  and
Dag Tjøstheim
Jiti Gao*
Affiliation:
University of Adelaide
Maxwell King
Affiliation:
Monash University
Zudi Lu
Affiliation:
University of Adelaide
Dag Tjøstheim
Affiliation:
University of Bergen
*
*Address correspondence to Jiti Gao, School of Economics, University of Adelaide, Adelaide SA 5005, Australia; e-mail: jiti.gao@adelaide.edu.au.
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Abstract

This paper considers a nonparametric time series regression model with a nonstationary regressor. We construct a nonparametric test for whether the regression is of a known parametric form indexed by a vector of unknown parameters. We establish the asymptotic distribution of the proposed test statistic. Both the setting and the results differ from earlier work on nonparametric time series regression with stationarity. In addition, we develop a bootstrap simulation scheme for the selection of suitable bandwidth parameters involved in the kernel test as well as the choice of simulated critical values. An example of implementation is given to show that the proposed test works in practice.

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Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 6: Newbold Conference Special Issue , December 2009 , pp. 1869 - 1892
Copyright
Copyright © Cambridge University Press 2009

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