NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY

DOI10.1017/S0266466609990363zbMath1179.62055MaRDI QIDQ3652630

Dag Tjøstheim, Maxwell L. King, J. T. Gao, Zu-di Lu

Publication date: 15 December 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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