{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T07:19:30Z","timestamp":1772781570009,"version":"3.50.1"},"reference-count":37,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2015,2,24]],"date-time":"2015-02-24T00:00:00Z","timestamp":1424736000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2016,8]]},"abstract":"<jats:p>In this paper, we propose a simple nonparametric test for testing the null hypothesis of constant coefficients against nonparametric smooth coefficients in a semiparametric varying coefficient model with integrated time series. We establish the asymptotic distributions of the proposed test statistic under both null and alternative hypotheses. Moreover, we derive a central limit theorem for a degenerate second order U-statistic, which contains a mixture of stationary and nonstationary variables and is weighted locally on a stationary variable. This result is of independent interest and useful in other applications. Monte Carlo simulations are conducted to examine the finite sample performance of the proposed test.<\/jats:p>","DOI":"10.1017\/s0266466615000018","type":"journal-article","created":{"date-parts":[[2015,2,24]],"date-time":"2015-02-24T04:24:45Z","timestamp":1424751885000},"page":"988-1022","source":"Crossref","is-referenced-by-count":16,"title":["A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES"],"prefix":"10.1017","volume":"32","author":[{"given":"Yiguo","family":"Sun","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Zongwu","family":"Cai","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Qi","family":"Li","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2015,2,24]]},"reference":[{"key":"S0266466615000018_ref24","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2327370"},{"key":"S0266466615000018_ref37","doi-asserted-by":"publisher","DOI":"10.1007\/BF00532676"},{"key":"S0266466615000018_ref20","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466699155026"},{"key":"S0266466615000018_ref23","doi-asserted-by":"publisher","DOI":"10.2307\/2171721"},{"key":"S0266466615000018_ref19","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176996269"},{"key":"S0266466615000018_ref5","article-title":"Testing instability in a predictive regression model with nonstationary regressors","author":"Cai","year":"2014","journal-title":"Econometric Theory"},{"key":"S0266466615000018_ref7","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600165016"},{"key":"S0266466615000018_ref32","doi-asserted-by":"crossref","first-page":"1901","DOI":"10.3982\/ECTA7732","article-title":"Structural nonparametric cointegrating regression","volume":"77","author":"Wang","year":"2009","journal-title":"Econometrica"},{"key":"S0266466615000018_ref1","doi-asserted-by":"publisher","DOI":"10.1002\/9780470316962"},{"key":"S0266466615000018_ref4","unstructured":"Cai, Z. & Wang, Y. 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