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Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity

Author

Listed:
  • Jiti Gao

    (School of Economics, University of Adelaide)

  • Maxwell King

    (Monash University)

  • Zudi Lu

    (Curtin University of Technology)

  • Dag Tjøstheim

    (The University of Bergen)

Abstract

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.

Suggested Citation

  • Jiti Gao & Maxwell King & Zudi Lu & Dag Tjøstheim, 2009. "Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity," School of Economics and Public Policy Working Papers 2009-03, University of Adelaide, School of Economics and Public Policy.
    • Handle: RePEc:adl:wpaper:2009-03
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    File URL: https://media.adelaide.edu.au/economics/papers/doc/wp2009-03.pdf
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