Authors

• Juan Carlos Escanciano (jescanci@unav.es)
  School of Economics and Business Administration, University of Navarra

Abstract
This paper proposes omnibus and directional tests for testing the goodness-of-fit of a parametric regression time series model. We use a general class of residual marked empirical processes as the building-blocks for estimation and testing of such models. First, we establish a weak convergence theorem under mild assumptions, which allows us to study in a unified way the asymptotic null distribution of the test statistics and their asymptotic behavior against Pitman's local alternatives. To approximate the asymptotic null distribution of test statistics we justify theoretically a bootstrap procedure. Also, some asymptotic theory for the estimation of the principal components of the residual marked processes is considered. This asymptotic theory is used to derive optimal directional tests and efficient estimation of regression parameters. Finally, a Monte Carlo study shows that the bootstrap and the asymptotic results provide good approximations for small sample sizes and an empirical application to the Canadian lynx data set is considered.

Classification JEL:C12

Number of Pages:44

Creation Date:2004-09-01

Number:null/04