Specification testing in nonstationary time series models

DOI10.1111/ECTJ.12044OpenAlexW1554578947MaRDI QIDQ5091817FDOQ5091817

Zhengyan Lin, Jiti Gao, Jia Chen, Degui Li

Publication date: 27 July 2022

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12044

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zbMATH Keywords

nonlinear time seriesasymptotic distributionEdgeworth expansionquadratic formspecification testingunit rootsize functionlocal power function

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (9)

• Functional coefficient panel modeling with communal smoothing covariates
• Some higher-order theory for a consistent non-parametric model specification test
• A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation
• Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective
• Nonparametric tests for model selection with time series data
• Nonparametric inference for quantile cointegrations with stationary covariates
• A nonnested approach to testing continuous time models against discrete alternatives
• SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE
• Multidimensional specification test based on non-stationary time series

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