Landajo, Manuel and Presno, María José (2010): Nonparametric pseudoLagrange 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 pseudoLagrange 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.
Item Type:  MPRA Paper 

Original Title:  Nonparametric pseudoLagrange multiplier stationarity testing 
Language:  English 
Keywords:  Time series, stationarity testing, limiting distribution, nonparametric regression, nonparametric hypothesis testing 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C22  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models 
Item ID:  25659 
Depositing User:  María José Presno 
Date Deposited:  08. Oct 2010 11:11 
Last Modified:  12. Feb 2013 18:35 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/25659 