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.
Publié le : 2009-12-15
Classification:
Cointegration,
kernel test,
nonparametric regression,
nonstationary time series,
time series econometrics,
62M10,
62G07,
60F05
@article{1256303531,
author = {Gao, Jiti and King, Maxwell and Lu, Zudi and Tj\o stheim, Dag},
title = {Specification testing in nonlinear and nonstationary time series autoregression},
journal = {Ann. Statist.},
volume = {37},
number = {1},
year = {2009},
pages = { 3893-3928},
language = {en},
url = {http://dml.mathdoc.fr/item/1256303531}
}
Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag. Specification testing in nonlinear and nonstationary time series autoregression. Ann. Statist., Tome 37 (2009) no. 1, pp. 3893-3928. http://gdmltest.u-ga.fr/item/1256303531/