 Unified specification tests in partially linear time series modelsShuang Sun, Zening Song and Xiaojun Song Computational Statistics & Data Analysis, 2025, vol. 203, issue C Abstract: Based on a residual marked empirical process, Cramér–von Mises and Kolmogorov–Smirnov tests are proposed for the correct specification of the nonparametric components in partially linear time series models. The tests are unified in the sense that the asymptotic distribution of residual marked empirical process is invariant across different nν-consistent estimators in calculating residuals (where ν>1/4) under the null. In addition, the residual marked empirical process has the same power property under the sequence of local alternatives regardless of the estimators used. Achieved through a projection method, these features also enable using a computationally convenient multiplier bootstrap to approximate the unified null distributions of the test statistics. Simulations show satisfactory finite-sample performance of the proposed method. The application to validate the parametric form of conditional variance in the ARCH-X model is also highlighted, along with an empirical analysis of the conditional variance of the FTSE 100 index return series. Keywords: Specification tests; Residual marked empirical process; Multiplier bootstrap; ARCH-X model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:203:y:2025:i:c:s0167947324001580 DOI: 10.1016/j.csda.2024.108074 Access Statistics for this article Computational Statistics & Data Analysis is currently edited by S.P. Azen More articles in Computational Statistics & Data Analysis from Elsevier |
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