A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation

Holger Dette and Ingrid Spreckelsen

Scandinavian Journal of Statistics, 2003, vol. 30, issue 3, 481-491

Abstract: In a recent paper, Paparoditis [Scand. J. Statist. 27 (2000) 143] proposed a new goodness‐of‐fit test for time series models based on spectral density estimation. The test statistic is based on the distance between a kernel estimator of the ratio of the true and the hypothesized spectral density and the expected value of the estimator under the null and provides a quantification of how well the parametric density fits the sample spectral density. In this paper, we give a detailed asymptotic analysis of the corresponding procedure under fixed alternatives.

Date: 2003
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