BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL

Consistent model-specification tests based on parametric bootstrap

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, ...

Consistent Model Specification Tests∗

This paper reviews the literature on tests for the correct specification of the functional form of parametric conditional expectation and conditional distribution models. In particular I will discuss various versions of the Integrated Conditional Moment (ICM) test and the ideas behind them.

Parametric bootstrap under model mis-specification

Under model correctness, highly accurate inference on a scalar interest parameter in the presence of a nuisance parameter can be achieved by several routes, among them considering the bootstrap distribution of the signed root likelihood ratio statistic. The context of model mis-specification is considered and inference based on a robust form of the signed root statistic is discussed in detail. ...

Some Specification Tests for the Linear Regression Model

the use of appropriate madm model for ranking the vendors of mci equipments using fuzzy approach

abstract nowadays, the science of decision making has been paid to more attention due to the complexity of the problems of suppliers selection. as known, one of the efficient tools in economic and human resources development is the extension of communication networks in developing countries. so, the proper selection of suppliers of tc equipments is of concern very much. in this study, a ...