Gao, J.Wang, Q.Yin, J.2011-08-252011-08-252011Econometric Theory, 2011; 27(2):260-2840266-46661469-4360http://hdl.handle.net/2440/65584This 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.en© Cambridge University Press 2010Journal article002010512410.1017/S02664666100002410002886128000032-s2.0-7995751814831302