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Specification Testing for Nonlinear Time Series with Long-range Dependence

Jiti Gao

出版	University of Adelaide, School of Economics, 2009
URL	http://books.google.com.hk/books?id=DCRsAQAACAAJ&hl=&source=gbs_api

註釋

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.