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Bootstrap specification tests for linear covariance stationary processes

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  • Hidalgo, J.
  • Kreiss, J.-P.

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  • Hidalgo, J. & Kreiss, J.-P., 2006. "Bootstrap specification tests for linear covariance stationary processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 807-839, August.
    • Handle: RePEc:eee:econom:v:133:y:2006:i:2:p:807-839
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    References listed on IDEAS

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    1. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606, November.
    2. Hong, Yongmiao, 1996. "Consistent Testing for Serial Correlation of Unknown Form," Econometrica, Econometric Society, vol. 64(4), pages 837-864, July.
    3. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590, November.
    4. Donald W. K. Andrews, 1997. "A Conditional Kolmogorov Test," Econometrica, Econometric Society, vol. 65(5), pages 1097-1128, September.
    5. Giraitis, L & Hidalgo, J & Robinson, Peter M., 2001. "Gaussian estimation of parametric spectral density with unknown pole," LSE Research Online Documents on Economics 297, London School of Economics and Political Science, LSE Library.
    6. Efstathios Paparoditis, 2000. "Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(1), pages 143-176, March.
    7. Liudas Giraitis & Javier Hidalgo & Peter M Robinson, 2001. "Gaussian Estimation of Parametric Spectral Density with Unknown Pole," STICERD - Econometrics Paper Series 424, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Kokoszka, P. & Mikosch, T., 1997. "The integrated periodogram for long-memory processes with finite or infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 66(1), pages 55-78, February.
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    Cited by:

    1. Hidalgo, Javier & Seo, Myung Hwan, 2013. "Specification for lattice processes," LSE Research Online Documents on Economics 58191, London School of Economics and Political Science, LSE Library.
    2. Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 973-1013, December.
    3. Hidalgo, Javier, 2009. "Goodness of fit for lattice processes," Journal of Econometrics, Elsevier, vol. 151(2), pages 113-128, August.
    4. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    5. Hidalgo, Javier & Seo, Myung Hwan, 2015. "Specification Tests For Lattice Processes," Econometric Theory, Cambridge University Press, vol. 31(2), pages 294-336, April.
    6. repec:cep:stiecm:/2013/562 is not listed on IDEAS
    7. Dalla, Violetta & Hidalgo, Javier, 2005. "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 219-261.

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