Hidalgo, Javier and Seo, Myung Hwan (2013) Specification for lattice processes. Econometrics (EM/2013/562). 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 |
| Date Deposited: | 24 Jul 2014 08:16 |
| Last Modified: | 12 Dec 2024 06:00 |
| URI: | http://eprints.lse.ac.uk/id/eprint/58191 |
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