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Nonparametric pseudo-Lagrange multiplier stationarity testing

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  • Landajo, Manuel
  • Presno, María José
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    Abstract

    The framework of stationarity testing is extended to allow a generic smooth trend function estimated nonparametrically. The asymptotic behavior of the pseudo-Lagrange Multiplier test is analyzed in this setting. The proposed implementation delivers a consistent test whose limiting null distribution is standard normal. Theoretical analyses are complemented with simulation studies and some empirical applications.

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    File URL: http://mpra.ub.uni-muenchen.de/25659/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 25659.

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    Date of creation: 05 Oct 2010
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    Handle: RePEc:pra:mprapa:25659

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    Keywords: Time series; stationarity testing; limiting distribution; nonparametric regression; nonparametric hypothesis testing;

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    Cited by:
    1. Paraskevi Salamaliki & Ioannis Venetis, 2014. "Smooth transition trends and labor force participation rates in the United States," Empirical Economics, Springer, vol. 46(2), pages 629-652, March.

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