Nonparametric pseudo-Lagrange multiplier stationarity testing
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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Volume (Year): 65 (2013)
Issue (Month): 1 (February)
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