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Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity

  • Jiti Gao


    (School of Economics, University of Adelaide)

  • Maxwell King

    (Monash University)

  • Zudi Lu

    (Curtin University of Technology)

  • Dag Tjøstheim

    (The University of Bergen)

This paper considers a nonparametric time series regression model with a nonstationary regressor. We construct a nonparametric test for testing whether the regression is of a known parametric form indexed by a vector of unknown parameters. We establish the asymptotic distribution of the proposed test statistic. Both the setting and the results differ from earlier work on nonparametric time series regression with stationarity. In addition, we develop a bootstrap simulation scheme for the selection of suitable bandwidth parameters involved in the kernel test as well as the choice of simulated critical values. An example of implementation is given to show that the proposed test works in practice.

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File Function: First version, 2009
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Paper provided by University of Adelaide, School of Economics in its series School of Economics Working Papers with number 2009-03.

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Length: 37 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:adl:wpaper:2009-03
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