An Extended Martingale Limit Theorem with Application to Specification Test for Nonlinear Co-integrating Regression Model

DOI10.1007/978-1-4939-3076-0_10zbMath1368.60044OpenAlexW2505343751MaRDI QIDQ5272947

Qiying Wang

Publication date: 5 July 2017

Published in: Asymptotic Laws and Methods in Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-3076-0_10

zbMATH Keywords

normal distributionsmartingale limit theoremnonlinear co-integrating regression model

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) General nonlinear regression (62J02)

Cites Work

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• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Structural Nonparametric Cointegrating Regression
• NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY
• Towards a unified asymptotic theory for autoregression
• NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS

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