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Goodness of fit for lattice processes

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  • Hidalgo, Javier
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    Abstract

    The paper discusses tests for the correct specification of a model when data is observed in a d-dimensional lattice, extending previous work when the data is collected in the real line. As it happens with the latter type of data, the asymptotic distributions of the tests are functionals of a Gaussian sheet process, say , [nu][set membership, variant][0,[pi]]d. Since it is not easy to find a time transformation h([nu]) such that becomes the standard Brownian sheet, a consequence is that the critical values are difficult, if at all possible, to obtain. So, to overcome the problem of its implementation, we propose employing a bootstrap approach, showing its validity in our context.

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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4VW5580-3/2/e91921b0b997ba4ee40f75bdf92ab343
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 151 (2009)
    Issue (Month): 2 (August)
    Pages: 113-128

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    Handle: RePEc:eee:econom:v:151:y:2009:i:2:p:113-128

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    Web page: http://www.elsevier.com/locate/jeconom

    Related research

    Keywords: Goodness-of-fit tests Spatial linear processes Spectral domain Bootstrap tests;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Miguel A. Delgado & Javier Hidalgo & Carlos Velasco, 2005. "Distribution Free Goodness-of-Fit Tests for Linear Processes," STICERD - Econometrics Paper Series /2005/482, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, vol. 117(2), pages 369-399, December.
    3. Javier Hidalgo, 2003. "An Alternative Bootstrap to Moving Blocks for Time Series Regression Models," STICERD - Econometrics Paper Series /2003/452, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. An, Hong-Zhi & Chen, Zhao-Guo & Hannan, E. J., 1983. "The maximum of the periodogram," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 383-400, September.
    5. Peter M Robinson & J Vidal Sanz, 2005. "Modified Whittle Estimation of Multilateral Models on a Lattice," STICERD - Econometrics Paper Series /2005/492, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    6. Efstathios Paparoditis, 2000. "Spectral Density Based Goodness-of-Fit Tests for Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 27(1), pages 143-176.
    7. Hidalgo, J. & Kreiss, J.-P., 2006. "Bootstrap specification tests for linear covariance stationary processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 807-839, August.
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    Cited by:
    1. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 361-411, September.

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