Gao, Jiti; Wang, Qiying; Yin, Jiying - In: Econometric Theory 27 (2011) 02, pp. 260-284
This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long-range dependent. An asymptotically normal test is established even when long-range dependent is involved. To implement the proposed...