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Specification with lattice processes

Hidalgo, Javier and Velasco, Carlos (2008) Specification with lattice processes. In: 1st London and Oxbridge Time Series workshop, 11 Jan 2008, London, UK.

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Abstract. We describe tests for the correct speciffcation of a model when data is observed in a lattice. We then extend previous work when the data is collected in the real line. As it happens with the latter type of data, the asymptotic distribution of the test is not pivotal and it depends on the model under consideration. On consequence is that its critical values are di¢ cult, if at all possible, to obtain. So, to overcome the problem of its implementation, we propose to employ a martingale transformation, showing its validity in our context.

Item Type: Conference or Workshop Item (Paper)
Official URL:
Additional Information: © 2008 The Authors
Subjects: H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 19 Apr 2011 13:19
Last Modified: 19 Apr 2011 13:19

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