题目：Model Checks for Nonlinear Cointegrating Regression

报告人🥂：Professor Qiying WANG (澳大利亚，悉尼大学数学与统计意昂4)

地点：致远楼105室

时间🎅🏼：2016年12月16日（周五）上午10:00开始

摘要

Using the marked empirical processes, this paper develops a test of parametric specification in a nonlinear cointegrating regression model. Unlike the kernel-smoothed $U$-statistic considered in Gao, et al. (2009) and Wang and Phillips (2012), our new test statistic avoids the use of bandwidth, which has some advantages for practitioners. Simulations and a real data example show that our new test has a good finite sample performance. Another contribution of this paper is to provide a rigorous proof on weak convergence for a class of martingales, which is interesting in its own rights.

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