Specification tests 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 specification of the dynamics of a sequence S0266466614000310_inline1 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 first main goal of the paper is to provide a transformation to obtain an asymptotic distribution that is free of nuisance parameters. Secondly, we propose a bootstrap analog of the transformation and show its validity. Thirdly, we discuss the results when S0266466614000310_inline2 are the errors of a parametric regression model. As a by product, we also discuss the asymptotic normality of the least squares estimator of the parameters of the regression model under very mild conditions. Finally, we present a small Monte Carlo experiment to shed some light on the finite sample behavior of our test.

JEL-codes: C21 C23 (search for similar items in EconPapers)
Date: 2015-04
New Economics Papers: this item is included in nep-ecm
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Published in Econometric Theory, April, 2015, 31(2), pp. 294-336. ISSN: 0266-4666

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Related works:
Journal Article: SPECIFICATION TESTS FOR LATTICE PROCESSES (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:66104

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