Specification testing in nonlinear and nonstationary time series autoregression

By Jiti Gao, Maxwell L. King, Zudi Lu, Dag Tjøstheim. 2009

78 citations recorded by the source corpus.

This paper considers a class of nonparametric autoregressive models with nonstationarity. We propose a nonparametric kernel test for the conditional mean and then establish an asymptotic distribution of the proposed test. Both the setting and the results differ from earlier work on nonparametric autoregression with stationarity. In addition, we develop a new bootstrap simulation scheme for the selection of a suitable bandwidth parameter involved in the kernel test as well as the choice of a simulated critical value. The finitesample performance of the proposed test is assessed using one simulated example and one real data example.

Subfields: Control and Systems Engineering, Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/9f5619c4ef0f2ee7ad29d12617f3b6cdb984c388

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Citations in the corpus

Estimation for single-index and partially linear single-index integrated models (2016, methodology): “Meanwhile, (c), (d) and (e) are extensively used in related papers such as Park and Phillips (2000), Wang and Phillips (2009a, 2009b, 2012), Gao et al. (2009a, 2009b), Gao, Tjøstheim and Yin (2012), among others.”
QUASI‐LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS (2013, unknown): “Another interesting example of a nonlinear model is given by (cf. Gao et al., 2009) f .y1; 1/ D d .1C 1/ C a1 1 C b1y1; (7) provided that all the parameters d , a1, b1 and are positive.”
Degenerate $$U$$- and $$V$$-statistics under ergodicity: asymptotics, bootstrap and applications in statistics (2013, background): “Models of this type have been considered before e.g. by Rydberg and Shephard (2000), Streett (2000), Davis et al. (2003), Ferland et al. (2006), Fokianos et al. (2009), Gao et al. (2009), Fokianos and Tjøstheim (2011), Neumann (2011), and Fokianos and Neumann (2012).”
An updated review of Goodness-of-Fit tests for regression models (2013, background): “Similar results can also be seen in González-Manteiga et al. (2002). Kreiss et al. (2008) provided an extensive review on this type of tests, justifying the consistency of a variety of resampling procedures for test calibration (see also Franke et al.”