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Specification tests for lattice processes

Hidalgo, Javier and Seo, Myung Hwan (2015) Specification tests for lattice processes. Econometric Theory, 31 (02). pp. 294-336. ISSN 0266-4666

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Identification Number: 10.1017/S0266466614000310

Abstract

We consider an omnibus test for the correct specification of the dynamics of a sequence S0266466614000310_inline1 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 first main goal of the paper is to provide a transformation to obtain an asymptotic distribution that is free of nuisance parameters. Secondly, we propose a bootstrap analog of the transformation and show its validity. Thirdly, we discuss the results when S0266466614000310_inline2 are the errors of a parametric regression model. As a by product, we also discuss the asymptotic normality of the least squares estimator of the parameters of the regression model under very mild conditions. Finally, we present a small Monte Carlo experiment to shed some light on the finite sample behavior of our test.

Item Type: Article
Official URL: http://journals.cambridge.org/action/displayJourna...
Additional Information: © 2014 Cambridge University Press
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
JEL classification: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C23 - Models with Panel Data
Sets: Departments > Economics
Date Deposited: 14 Apr 2016 09:15
Last Modified: 20 Mar 2019 02:47
URI: http://eprints.lse.ac.uk/id/eprint/66104

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