SPECIFICATION TESTING IN NONLINEAR AND NONSTATIONARY TIME SERIES AUTOREGRESSION

• 成果类型: Article
• 署名作者: Gao, Jiti; King, Maxwell; Lu, Zudi; Tjostheim, Dag
• 署名单位: University of Adelaide; Monash University; Curtin University; University of Bergen
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/09-AOS698
• 发表日期: 2009
• 页码: 3893-3928
• 关键词: nonparametric-estimation

摘要

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 finite-sample performance of the proposed test is assessed using one simulated example and one real data example.