Specification For Lattice Processes
AbstractWe consider an omnibus test for the correct speci…cation of the dynamics of a sequence fx (t)gt2Zd in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the estimator of the unknown parameters of the model under the null hypothesis. One of our main goals of the paper is to provide a transformation to obtain an asymptotic distribution that is free of nuisance parameters. Secondly, we propose a bootstrap analogue of the transformation and show its validity. Third, we discuss the results when fx (t)gt2Zd are the errors of a parametric regression model. As a by product, we also discuss the asymptotic normality of the least squares estimators under very mild conditions. Finally, we present a small Monte Carlo experiment to shed some light on the …nite sample behaviour of our test.
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Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2013/562.
Date of creation: May 2013
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Specification test; Spatial processes; Lattice; Spectral domain; CUSUM; Bootstrap.;
Find related papers by JEL classification:
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- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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LSE Research Online Documents on Economics
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- Jun Zhu & Hsin-Cheng Huang & Perla E. Reyes, 2010. "On selection of spatial linear models for lattice data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 389-402.
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