Long-range dependent time series specification

被引:0
|
作者
Gao, Jiti [1 ]
Wang, Qiying [2 ]
Yin, Jiying [1 ]
机构
[1] Monash Univ, Dept Econometr & Business Stat, Caulfield, Vic 3145, Australia
[2] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia
基金
澳大利亚研究理事会;
关键词
central limit theorem; Gaussian process; linear process; long-range dependence; parametric time series regression; specification testing; SEMIPARAMETRIC AVERAGED DERIVATIVES; CENTRAL LIMIT-THEOREMS; REGRESSION-MODELS; RANDOM-VARIABLES; QUADRATIC-FORMS; NONPARAMETRIC REGRESSION; DENSITY-ESTIMATION; MOVING AVERAGES; MEMORY ERRORS; BOOTSTRAP;
D O I
10.3150/12-BEJ427
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this paper we propose using a nonparametric model specification test for parametric time series with long-range dependence (LRD). To establish asymptotic distributions of the proposed test statistic, we develop new central limit theorems for certain weighted quadratic forms of stationary time series with LRD. To implement our proposed test in practice, we develop a computer-intensive parametric bootstrap simulation procedure for finding simulated critical values. As a result, our finite-sample studies demonstrate that both the proposed theory and the simulation procedure work well, and that the proposed test has little size distortion and reasonable power.
引用
收藏
页码:1714 / 1749
页数:36
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