SPECIFICATION FOR LATTICE PROCESSES

Javier Hidalgo and Myung Hwan Seo

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: We consider an omnibus test for the correct speci…cation of the dynamics of a sequence fx (t)gt2Zd in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the estimator of the unknown parameters of the model under the null hypothesis. One of our main goals of the paper is to provide a transformation to obtain an asymptotic distribution that is free of nuisance parameters. Secondly, we propose a bootstrap analogue of the transformation and show its validity. Third, we discuss the results when fx (t)gt2Zd are the errors of a parametric regression model. As a by product, we also discuss the asymptotic normality of the least squares estimators under very mild conditions. Finally, we present a small Monte Carlo experiment to shed some light on the …nite sample behaviour of our test.

Keywords: Specification test; Spatial processes; Lattice; Spectral domain; CUSUM; Bootstrap. (search for similar items in EconPapers)
JEL-codes: C21 C23 (search for similar items in EconPapers)
Date: 2013-05
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https://sticerd.lse.ac.uk/dps/em/em562.pdf (application/pdf)

Related works:
Working Paper: Specification for lattice processes (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:562

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