Munich Personal RePEc Archive

Nonparametric pseudo-Lagrange multiplier stationarity testing

Landajo, Manuel and Presno, María José (2010): Nonparametric pseudo-Lagrange multiplier stationarity testing.

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Abstract

The framework of stationarity testing is extended to allow a generic smooth trend function estimated nonparametrically. The asymptotic behavior of the pseudo-Lagrange Multiplier test is analyzed in this setting. The proposed implementation delivers a consistent test whose limiting null distribution is standard normal. Theoretical analyses are complemented with simulation studies and some empirical applications.

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