Local linear fitting is a popular nonparametric method in statistical and econometric modeling. Lu and Linton (<xref>2007</xref>, <italic>Econometric Theory</italic>23, 37–70) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the condition of near...

This paper considers a nonparametric time series regression model with a nonstationary regressor. We construct a nonparametric test for whether the regression is of a known parametric form indexed by a vector of unknown parameters. We establish the asymptotic distribution of the proposed test...