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A Consistent Nonparametric Test On Semiparametric Smooth Coefficient Models With Integrated Time Series

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  • Sun, Yiguo
  • Cai, Zongwu
  • Li, Qi

Abstract

In this paper, we propose a simple nonparametric test for testing the null hypothesis of constant coefficients against nonparametric smooth coefficients in a semiparametric varying coefficient model with integrated time series. We establish the asymptotic distributions of the proposed test statistic under both null and alternative hypotheses. Moreover, we derive a central limit theorem for a degenerate second order U-statistic, which contains a mixture of stationary and nonstationary variables and is weighted locally on a stationary variable. This result is of independent interest and useful in other applications. Monte Carlo simulations are conducted to examine the finite sample performance of the proposed test.

Suggested Citation

  • Sun, Yiguo & Cai, Zongwu & Li, Qi, 2016. "A Consistent Nonparametric Test On Semiparametric Smooth Coefficient Models With Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 32(4), pages 988-1022, August.
    • Handle: RePEc:cup:etheor:v:32:y:2016:i:04:p:988-1022_00
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    Cited by:

    1. Phillips, Peter C.B. & Wang, Ying, 2023. "When bias contributes to variance: True limit theory in functional coefficient cointegrating regression," Journal of Econometrics, Elsevier, vol. 232(2), pages 469-489.
    2. Sun, Yiguo & Malikov, Emir, 2018. "Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 203(2), pages 359-378.
    3. Tu, Yundong & Wang, Ying, 2022. "Spurious functional-coefficient regression models and robust inference with marginal integration," Journal of Econometrics, Elsevier, vol. 229(2), pages 396-421.
    4. Heather Anderson & Jiti Gao & Farshid Vahid & Wei Wei & Yang Yang, 2023. "Does Climate Sensitivity Differ Across Regions?," Monash Econometrics and Business Statistics Working Papers 7/23, Monash University, Department of Econometrics and Business Statistics.
    5. Li, Li & Tu, Yundong, 2022. "The varying spillover of U.S. systemic risk: A functional-coefficient cointegration approach," Economics Letters, Elsevier, vol. 212(C).

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