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.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 27 (2011)
Issue (Month): 02 (April)
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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.
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- 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.
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