In this paper, we consider some specification testing problems in nonlinear time series models with nonstationarity. We propose using a nonparametric kernel test for specifying whether the regression function is of a known parametric nonlinear form. The power function of the proposed...

In this paper, we consider both estimation and testing problems in a nonlinear time series model with nonstationarity. A nonparametric estimation method is proposed to estimate a sequence of nonparametric “distance functions”. We also propose a test statistic to test whether the regression...

In this paper, we consider a semiparametric time series regression model and establish a set of identification conditions such that the model under discussion is both identifiable and estimable. We then discuss how to estimate a sequence of local alternative functions nonparametrically when the...

Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice depending on multiple conditioning variables, where the number of the conditioning variables can be either fixed or...