N-consistent Semiparametric Regression: Unit Root Tests with Nonlinearities
نویسندگان
چکیده
We develop unit root tests using additional time series as suggested in Hansen (1995). However, we allow for the covariate to enter the model in a nonlinear fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988). It is proven that the autoregressive parameter is estimated at rate N even though part of the model is estimated nonparametrically. The limiting distribution is a mixture of a standard normal and the Dickey-Fuller distribution. A Monte Carlo experiment is used to evaluate the performance of the tests for various linear and nonlinear specifications.
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