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Specification for lattice processes

Hidalgo, Javier and Seo, Myung Hwan (2013) Specification for lattice processes. Econometrics (EM/2013/562). The London School of Economics and Political Science, Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

We consider an omnibus test for the correct speci…cation of the dynamics of a sequence fx (t)gt2Zd in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the estimator of the unknown parameters of the model under the null hypothesis. One of our main goals of the paper is to provide a transformation to obtain an asymptotic distribution that is free of nuisance parameters. Secondly, we propose a bootstrap analogue of the transformation and show its validity. Third, we discuss the results when fx (t)gt2Zd are the errors of a parametric regression model. As a by product, we also discuss the asymptotic normality of the least squares estimators under very mild conditions. Finally, we present a small Monte Carlo experiment to shed some light on the …nite sample behaviour of our test.

Item Type: Monograph (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2013 The Authors
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 24 Jul 2014 08:16
Last Modified: 27 Aug 2019 23:12
URI: http://eprints.lse.ac.uk/id/eprint/58191

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