Nonparametric pseudo-Lagrange multiplier stationarity testing

DOI10.1007/s10463-012-0363-zzbMath1440.62334OpenAlexW2232847669MaRDI QIDQ1934472

María José Presno, Manuel Landajo

Publication date: 28 January 2013

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/25659/1/MPRA_paper_25659.pdf

zbMATH Keywords

time serieslimiting distributionnonparametric regressionnonparametric hypothesis testingstationarity testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Nonparametric panel stationarity testing with an application to crude oil production

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Testing for stationarity with a break
• Convergence of quadratic forms with nonvanishing diagonal
• Stationarity testing under nonlinear models. Some asymptotic results
• Reducing the size distortion of the KPSS test
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• Basic structure of the asymptotic theory in dynamic nonlinear econometric models
• Consistent Specification Testing Via Nonparametric Series Regression
• The Econometric Modelling of Financial Time Series
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
• Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

This page was built for publication: Nonparametric pseudo-Lagrange multiplier stationarity testing