distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature … to date because we construct a bootstrap statistic that allows for dynamic misspecification under both hypotheses. We … (1998). The limiting distribution of both tests is a Gaussian process with a covariance kernel that reflects dynamic …

distribution tests when there is dynamic misspecification and parameter estimation error. Our approach di®ers from the literature … to date because we construct a bootstrap statistic that allows for dynamic misspecification under both hypotheses. We … (1998). The limiting distribution of both tests is a Gaussian process with a covariance kernel that reflects dynamic …