Specification testing in nonlinear time series with long-range dependence
Date
2011
Authors
Gao, J.
Wang, Q.
Yin, J.
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Journal article
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Econometric Theory, 2011; 27(2):260-284
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Jiti Gao, Qiying Wang, and Jiying Yin
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Abstract
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.
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© Cambridge University Press 2010