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SPECIFICATION TESTING IN NONLINEAR TIMESERIES WITH LONG-RANGE DEPENDENCE

Published online by Cambridge University Press:  27 August 2010

Jiti Gao ,
Qiying Wang  and
Jiying Yin
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Abstract

This paper proposes a model specification testingprocedure for parametric specification of theconditional mean function in a nonlinear time seriesmodel with long-range dependent. An asymptoticallynormal test is established even when long-rangedependent is involved. To implement the proposedtest in practice using a simulated example, abootstrap simulation procedure is established tofind a simulated critical value to compute both thesize and power values of the proposed test.

Information

Type
Research Article
Information
Econometric Theory , Volume 27 , Issue 2 , April 2011 , pp. 260 - 284
Copyright
Copyright © Cambridge University Press 2010

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Footnotes

The authors thank the co-editor and two refereesfor helpful comments on earlier versions. Theauthors also acknowledge financial support fromthe Australian Research Council Discovery GrantsProgram under grants DP0558602 and DP0879088.

References

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