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SPECIFICATION TESTING IN NONLINEAR TIME SERIES 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 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.

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 referees for helpful comments on earlier versions. The authors also acknowledge financial support from the Australian Research Council Discovery Grants Program under grants DP0558602 and DP0879088.

References

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