Specification for lattice processes

Javier Hidalgo and Myung Hwan Seo

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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: J1 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2013-05-15
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http://eprints.lse.ac.uk/58191/ Open access version. (application/pdf)

Related works:
Working Paper: SPECIFICATION FOR LATTICE PROCESSES (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:58191

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