Goodness of fit for lattice processes
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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References listed on IDEAS
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- 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.
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- 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.
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- 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.
- 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.
- Miguel A. Delgado & Javier Hidalgo & Carlos Velasco, 2005. "Distribution free goodness-of-fit tests for linear processes," LSE Research Online Documents on Economics 6840, London School of Economics and Political Science, LSE Library.
- A. Diblasi & A. W. Bowman, 2001. "On the Use of the Variogram in Checking for Independence in Spatial Data," Biometrics, The International Biometric Society, vol. 57(1), pages 211-218, 03.
- Hong, Yongmiao, 1996. "Consistent Testing for Serial Correlation of Unknown Form," Econometrica, Econometric Society, vol. 64(4), pages 837-64, July.
- 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.
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