This paper studies a model with both a parametric global trend and a nonparametric local trend. This model may be of interest in a number of applications in economics, finance, ecology, and geology. The model nests the parametric global trend model considered in Phillips (2007) and Robinson...

This paper studies a model with both a parametric global trend and a nonparametric local trend. This model may be of interest in a number of applications in economics, finance, ecology, and geology. The model nests the parametric global trend model considered in Phillips (2007) and Robinson...

This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels called the generalized gamma kernels. It is demonstrated that the improved test statistic has a normal limit under the null of symmetry and is consistent under the alternative. A...