Lack-of-fit of a parametric measurement error AR(1) model

N. Balakrishna, Jiwoong Kim and Hira L. Koul

Statistics & Probability Letters, 2020, vol. 166, issue C

Abstract: This paper proposes an asymptotically distribution free test for fitting a parametric model to the autoregressive function in the AR(1) model in the presence of measurement error. The test is based on a martingale transform of a certain marked residual empirical process. A simulation study assessing the finite sample level and power performance of the proposed test is also included.

Keywords: Marked empirical process; Martingale transform (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108872

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