Chen, Jia; Gao, Jiti; Li, Degui; Lin, Zhengyan - Department of Economics and Related Studies, University … - 2014
In this paper, we consider a specification testing problem in nonlinear time series models with nonstationary regressors and propose using a nonparametric kernel-based test statistic. The nullasymptotics for the proposed nonparametric test statistic have been well developed in the existing...