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Specification testing in parametric trending models with unknown errors

Gao, Jiti; King, Maxwell L. - In: Essays in honor of Peter C. B. Phillips, (pp. 151-202). 2014

Persistent link: https://www.econbiz.de/10010442867

The et interview : Professor Max King

King, Maxwell L. (interviewee); Gao, Jiti (interviewer); … - In: Econometric theory 35 (2019) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10012146123

Nonparametric specification testing for nonlinear time series with nonstationarity

Gao, Jiti; King, Maxwell L.; Lu, Zu-di; Tjøstheim, Dag - 2009

Persistent link: https://www.econbiz.de/10003813943

Nonparametric specification testing for nonlinear time series with nonstationarity

Gao, Jiti; King, Maxwell L.; Lu, Zu-di; Tjøstheim, Dag - In: Econometric theory 25 (2009) 6, pp. 1869-1892

Persistent link: https://www.econbiz.de/10003904450

A new test in parametric linear models against nonparametric autoregressive errors

Gao, Jiti; King, Maxwell L. - 2011

This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...