Let Xt be a moving average process defined by Xt=[summation operator]k=0[infinity][psi]k[var epsilon]t-k, t=1,2,... , where the innovation {[var epsilon]k} is a centered sequence of random variables and {[psi]k} is a sequence of real numbers. Under conditions on {[psi]k} which entail that {Xt}...

In this paper we investigate the weighted bootstrap for U-statistics and its properties. Under very general choices of random weights and certain regularity conditions, we show that the weighted bootstrap method with U-statistics provides second-order accurate approximations to the distribution...

We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.

This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long–range dependence. An asymptotically normal test is established even when long–range dependence is involved. In order to...

Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is...

We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or...

A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities...

This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long-range dependent. An asymptotically normal test is established even when long-range dependent is involved. To implement the proposed...