Nonparametric pseudo-Lagrange multiplier stationarity testing
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More about this item
Keywords
Time series; stationarity testing; limiting distribution; nonparametric regression; nonparametric hypothesis testing;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-10-23 (Econometrics)
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