Document Type
Discussion Paper
Publication Date
1-1-2011
CFDP Number
1779
CFDP Revision Date
2011-06-01
CFDP Pages
66
Abstract
We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test depends on the self intersection local time of a Gaussian process. A new weak convergence result is developed for certain partial sums of functions involving nonstationary time series that converges to the intersection local time process. This result is of independent interest and useful in other applications.
Recommended Citation
Wang, Qiying and Phillips, Peter C.B., "Specification Testing for Nonlinear Cointegrating Regression" (2011). Cowles Foundation Discussion Papers. 2120.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2120