Nonparametric pseudo-Lagrange multiplier stationarity testing

The framework of stationarity testing is extended to allow a generic smooth trend function estimated nonparametrically. The asymptotic behavior of the pseudo-Lagrange Multiplier test is analyzed in this setting. The proposed implementation delivers a consistent test whose limiting null distribution is standard normal. Theoretical analyses are complemented with simulation studies and some empirical applications.

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Year of publication:	2010-10-05
Authors:	Landajo, Manuel ; Presno, María José

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Landajo, Manuel and Presno, María José (2010): Nonparametric pseudo-Lagrange multiplier stationarity testing.
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	BASE

Persistent link: https://www.econbiz.de/10015223542