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Specification Testing In Nonlinear Time Series With Long-Range Dependence

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  • Gao, Jiti
  • Wang, Qiying
  • Yin, Jiying
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Abstract

This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long-range dependent. An asymptotically normal test is established even when long-range dependent is involved. To implement the proposed test in practice using a simulated example, a bootstrap simulation procedure is established to find a simulated critical value to compute both the size and power values of the proposed test.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 27 (2011)
Issue (Month): 02 (April)
Pages: 260-284

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Handle: RePEc:cup:etheor:v:27:y:2011:i:02:p:260-284_00

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Cited by:
  1. Chaohua Dong & Jiti Gao, 2012. "Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 20/12, Monash University, Department of Econometrics and Business Statistics.
  2. Chaohua Dong & Jiti Gao, 2014. "Specification Testing in Structural Nonparametric Cointegration," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 2/14, Monash University, Department of Econometrics and Business Statistics.

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