Specification Testing in Nonlinear Time Series with Long-Range Dependence

Jiti Gao, Qiying Wang (qiying.wang@sydney.edu.au) and Jiying Yin
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Jiying Yin: The University of Sydney

No 2009-04, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

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 dependence. An asymptotically normal test is established even when long–range dependence is involved. In order 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.

Keywords: Asymptotic theory; Gaussian process; nonlinear time series; long-range dependence; parametric specification (search for similar items in EconPapers)
Pages: 28 pages
Date: 2009
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Citations: View citations in EconPapers (5)

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https://media.adelaide.edu.au/economics/papers/doc/wp2009-04.pdf First version, 2009 (application/pdf)

Related works:
Journal Article: SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:adl:wpaper:2009-04

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