Specification testing in nonstationary time series models

DOI10.1111/ectj.12044OpenAlexW1554578947MaRDI QIDQ5091817

Zheng Yan Lin, Jia Chen, Degui Li, J. T. Gao

Publication date: 27 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12044

zbMATH Keywords

asymptotic distributionquadratic formunit rootnonlinear time seriesEdgeworth expansionsize functionspecification testinglocal power function

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Multidimensional specification test based on non-stationary time series, Nonparametric inference for quantile cointegrations with stationary covariates, Functional coefficient panel modeling with communal smoothing covariates