Specification testing for nonlinear time series with long-range dependence [electronic resource] / Jiti Gao, Qiying Wang and Jiying Yin
- Bib ID:
- 5547891
- Format:
- Book
- Author:
- Gao, Jiti
- Online Access:
- Archived at ANL
- Related Online Resources:
- Publisher site
- Description:
- [Adelaide] : University of Adelaide, School of Economics, 2009
- Series:
-
- PANDORA electronic collection.
- Research paper (University of Adelaide. School of Economics) ; 2009-04.
- Technical Details:
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- Mode of access: Internet via World Wide Web. Address as at 10/08/2011: http://www.economics.adelaide.edu.au/research/papers/
- System requirements: Adobe Acrobat reader to access the document in PDF.
- Summary:
-
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.
- Notes:
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- "January 2009".
- Title from title screen (viewed on Aug. 10, 2011)
- Text.
- Selected for archiving
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- Copyright:
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In Copyright
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Copyright status was determined using the following information:
- Material type:
- Literary Dramatic Musical
- Published status:
- Published
- Publication date:
- 2009
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