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Goodness of fit for lattice processes

[Zeitschriftenartikel]

Hidalgo, Javier

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-233523

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Abstract The paper discusses tests for the correct specification of a model when data is observed in a d-dimensional lattice, extending previous work when the data is collected in the real line. As it happens with the latter type of data, the asymptotic distribution of the tests are functionals of a Gaussian sheet process, say B(ν), ν∈[0,π]d. Because it is not easy to find a time transformation h(ν) such that B(h(ν)) becomes the standard Brownian sheet, a consequence is that the critical values are difficult, if at all possible, to obtain. So, to overcome the problem of its implementation, we propose to employ a bootstrap approach, showing its validity in our context.
Klassifikation Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter C21; C23; Goodness of fit tests; Spatial linear processes; Spectral domain; Bootstrap tests
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 113-128
Zeitschriftentitel Journal of Econometrics, 151 (2009) 2
DOI http://dx.doi.org/10.1016/j.jeconom.2009.03.003
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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