. The tests are consistent and divergence rates are faster when the predictor is stationary. Asymptotic theory and …

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated … time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating … avoids Fourier integral representations and Markov process theory which have been used in earlier research on this type of …

-parametric tests. Small-b asymptotics involve standard limit theory such as standard normal or chi-squared limits, whereas fixed …

and improving efficiency for the threshold point. Specification tests are developed to test for the presence of … finite sample critical values for both tests. Simulation studies corroborate the theory and the asymptotics. An empirical …