Specification for lattice processes
作者： Javier Hidalgo , Myung Hwan Seo
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摘要: We consider an omnibus test for the correct speci…cation of dynamics a sequence fx (t)gt2Zd in lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal depends on estimator unknown parameters model under null hypothesis. One our main goals paper to provide transformation obtain that free nuisance parameters. Secondly, we propose bootstrap analogue show validity. Third, discuss results when are errors parametric regression model. by product, also normality least squares estimators very mild conditions. Finally, present small Monte Carlo experiment shed some light …nite sample behaviour test.
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