245 citations · 338 across the 7 of their papers we have counts for
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math.ST2012★ 68 cited
A specification test for nonlinear nonstationary models
Qiying Wang, Peter C. B. Phillips
We provide a limit theory for a general class of kernel smoothed U-statistics that may be used for specification testing in time series regression with nonstationary data. The test…
math.ST2004★ 245 cited
Local Whittle estimation in nonstationary and unit root cases
Peter C. B. Phillips, Katsumi Shimotsu
Asymptotic properties of the local Whittle estimator in the nonstationary case (d>{1/2}) are explored. For {1/2}<d\leq 1, the estimator is shown to be consistent, and its limit dis…