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Nonparametric pseudo-Lagrange multiplier stationarity testing

  • Manuel Landajo


  • María Presno


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    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. Copyright The Institute of Statistical Mathematics, Tokyo 2013

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    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 65 (2013)
    Issue (Month): 1 (February)
    Pages: 125-147

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    Handle: RePEc:spr:aistmt:v:65:y:2013:i:1:p:125-147
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