Gao, Jiti; King, Maxwell - In: Essays in honor of Peter C.B. Phillips, (pp. 151-202). 2014
This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is established and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...
