Specification testing in nonlinear time series with long-range dependence

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dc.contributor.authorGao, J.
dc.contributor.authorWang, Q.
dc.contributor.authorYin, J.
dc.date.issued2011
dc.description.abstractThis 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.
dc.description.statementofresponsibilityJiti Gao, Qiying Wang, and Jiying Yin
dc.identifier.citationEconometric Theory, 2011; 27(2):260-284
dc.identifier.doi10.1017/S0266466610000241
dc.identifier.issn0266-4666
dc.identifier.issn1469-4360
dc.identifier.urihttp://hdl.handle.net/2440/65584
dc.language.isoen
dc.publisherCambridge Univ Press
dc.rights© Cambridge University Press 2010
dc.source.urihttps://doi.org/10.1017/s0266466610000241
dc.titleSpecification testing in nonlinear time series with long-range dependence
dc.typeJournal article
pubs.publication-statusPublished

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