Goodness‐of‐fit Test in Parametric Time Series Models

Kathryn Prewitt

Journal of Time Series Analysis, 1998, vol. 19, issue 5, 549-574

Abstract: A goodness‐of‐fit test is proposed which uses nonparametric curve estimation methods to investigate the fit of parametric models for the spectral density. A test of the null hypothesis that the function has parametric form is considered with a test statistic which compares parametric estimates and nonparametric kernel estimates of the function and its derivatives at a preselected number of points. An important issue for the nonparametric estimator is bandwidth choice, and we propose a data‐adaptive method for local bandwidth choice. Under the null hypothesis, asymptotically the test statistic has a χ2 distribution. Some practical issues are discussed.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:19:y:1998:i:5:p:549-574

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