Specification Testing In Nonlinear Time Series With Long-Range Dependence
AbstractThis paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with longÃârange dependence. An asymptotically normal test is established even when longÃârange dependence is involved. In order 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 27 (2011)
Issue (Month): 02 (April)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:firstname.lastname@example.org
Other versions of this item:
- Jiti Gao & Qiying Wang & Jiying Yin, 2009. "Specification Testing in Nonlinear Time Series with Long-Range Dependence," School of Economics Working Papers 2009-04, University of Adelaide, School of Economics.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Chaohua Dong & Jiti Gao, 2014. "Specification Testing in Structural Nonparametric Cointegration," Monash Econometrics and Business Statistics Working Papers 2/14, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao, 2012. "Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 20/12, Monash University, Department of Econometrics and Business Statistics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If references are entirely missing, you can add them using this form.