Specification testing in nonlinear and nonstationary time series autoregression

DOI10.1214/09-AOS698zbMath1191.62148arXiv0911.3736MaRDI QIDQ1043717

Dag Tjøstheim, Maxwell L. King, Zu-di Lu, J. T. Gao

Publication date: 9 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3736

zbMATH Keywords

cointegrationtime series econometricskernel test

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

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