Consistent model-specification tests based on parametric bootstrap
نویسنده
چکیده
In this paper we establish consistent tests of L2-type for the parametric functional form of the conditional mean of time series with values in Rd. A recent result on asymptotic distributions of U -statistics of weakly dependent observations is invoked to obtain the limit distributions of the test statistics. Since the asymptotic distributions depend on unknown parameters in a complicated way, we suggest to apply certain parametric bootstrap methods in order to determine critical values of the tests. 2000 Mathematics Subject Classification. 62E20, 62F40.
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تاریخ انتشار 2010