标题： 非线性非平稳时间序列自回归中的规格检验 显示英文标题

标题： Specification testing in nonlinear and nonstationary time series autoregression

摘要： 本文考虑了一类具有非平稳性的非参数自回归模型。我们提出了一个条件均值的非参数核检验，并建立了所提出检验的渐近分布。无论是设定还是结果都与早期关于平稳性非参数自回归的工作有所不同。此外，我们开发了一种新的自助法模拟方案，用于选择核检验中涉及的合适带宽参数以及模拟临界值的选择。通过一个模拟例子和一个真实数据例子评估了所提出的检验在有限样本下的表现。 显示英文摘要

摘要： This paper considers a class of nonparametric autoregressive models with nonstationarity. We propose a nonparametric kernel test for the conditional mean and then establish an asymptotic distribution of the proposed test. Both the setting and the results differ from earlier work on nonparametric autoregression with stationarity. In addition, we develop a new bootstrap simulation scheme for the selection of a suitable bandwidth parameter involved in the kernel test as well as the choice of a simulated critical value. The finite-sample performance of the proposed test is assessed using one simulated example and one real data example.