A specification test for nonlinear nonstationary models

DOI10.1214/12-AOS975zbMath1273.62228arXiv1206.0825OpenAlexW3105567702MaRDI QIDQ447823

Qiying Wang, Peter C. B. Phillips

Publication date: 29 August 2012

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

Full work available at URL: https://arxiv.org/abs/1206.0825

zbMATH Keywords

weak convergencekernel regressionintersection local timespecification testsnonstationary time seriesnonlinear nonparametric model

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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