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Goodness of fit for lattice processes

[journal article]

Hidalgo, Javier

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... view more

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.... view less

Classification
Economic Statistics, Econometrics, Business Informatics

Free Keywords
C21; C23; Goodness of fit tests; Spatial linear processes; Spectral domain; Bootstrap tests

Document language
English

Publication Year
2009

Page/Pages
p. 113-128

Journal
Journal of Econometrics, 151 (2009) 2

DOI
https://doi.org/10.1016/j.jeconom.2009.03.003

Status
Postprint; peer reviewed

Licence
PEER Licence Agreement (applicable only to documents from PEER project)


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© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.