Specification testing in nonlinear and nonstationary time series autoregression - Mathematics > Statistics TheoryReport as inadecuate




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Abstract: This paper considers a class of nonparametric autoregressive models withnonstationarity. We propose a nonparametric kernel test for the conditionalmean and then establish an asymptotic distribution of the proposed test. Boththe setting and the results differ from earlier work on nonparametricautoregression with stationarity. In addition, we develop a new bootstrapsimulation scheme for the selection of a suitable bandwidth parameter involvedin the kernel test as well as the choice of a simulated critical value. Thefinite-sample performance of the proposed test is assessed using one simulatedexample and one real data example.



Author: Jiti Gao, Maxwell King, Zudi Lu, Dag Tjøstheim

Source: https://arxiv.org/



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