This paper considers a nonparametric time series regression model with a nonstationary regressor. We construct a nonparametric test for testing whether the regression is of a known parametric form indexed by a vector of unknown parameters. We establish the asymptotic distribution of the proposed...

This paper considers a nonparametric time series regression model with a nonstationary regressor. We construct a nonparametric test for whether the regression is of a known parametric form indexed by a vector of unknown parameters. We establish the asymptotic distribution of the proposed test...