A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES Academic Article uri icon

abstract

  • In this paper, we propose a simple nonparametric test for testing the null hypothesis of constant coefficients against nonparametric smooth coefficients in a semiparametric varying coefficient model with integrated time series. We establish the asymptotic distributions of the proposed test statistic under both null and alternative hypotheses. Moreover, we derive a central limit theorem for a degenerate second order U-statistic, which contains a mixture of stationary and nonstationary variables and is weighted locally on a stationary variable. This result is of independent interest and useful in other applications. Monte Carlo simulations are conducted to examine the finite sample performance of the proposed test.

published proceedings

  • ECONOMETRIC THEORY

author list (cited authors)

  • Sun, Y., Cai, Z., & Li, Q. i.

citation count

  • 12

complete list of authors

  • Sun, Yiguo||Cai, Zongwu||Li, Qi

publication date

  • August 2016