Specification Testing In Nonlinear Time Series With Long-Range Dependence
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.
Volume (Year): 27 (2011)
Issue (Month): 02 (April)
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