Specification tests for lattice processes

DOI10.1017/S0266466614000310MaRDI QIDQ5247355zbMATH OpenFDO

Authors Javier Hidalgo, Myung Hwan Seo

Publication date 24 April 2015

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Goodness of fit for lattice processes
• Specification testing for regression models with dependent data
• Model specification testing of time series regressions
• Distribution-free specification tests for dynamic linear models
• Multivariate specification tests based on a dynamic Rosenblatt transform

Cites work

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Cited in

(3)

• Goodness of fit for lattice processes
• A test for weak stationarity in the spectral domain
• Autoregressive spatial spectral estimates

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