SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE

Jiti Gao, Qiying Wang () and Jiying Yin

Econometric Theory, 2011, vol. 27, issue 2, 260-284

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.

Date: 2011
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Working Paper: Specification Testing in Nonlinear Time Series with Long-Range Dependence (2009)
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