Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/65584
Citations | ||
Scopus | Web of Science® | Altmetric |
---|---|---|
?
|
?
|
Type: | Journal article |
Title: | Specification testing in nonlinear time series with long-range dependence |
Author: | Gao, J. Wang, Q. Yin, J. |
Citation: | Econometric Theory, 2011; 27(2):260-284 |
Publisher: | Cambridge Univ Press |
Issue Date: | 2011 |
ISSN: | 0266-4666 1469-4360 |
Statement of Responsibility: | Jiti Gao, Qiying Wang, and Jiying Yin |
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 dependent. An asymptotically normal test is established even when long-range dependent is involved. 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. |
Rights: | © Cambridge University Press 2010 |
DOI: | 10.1017/S0266466610000241 |
Published version: | http://dx.doi.org/10.1017/s0266466610000241 |
Appears in Collections: | Aurora harvest Economics publications |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.