by A. Leucht
Preprint series: 10-07, Reports on Stochastics and Statistics
Abstract: 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 $R^d$. 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, we suggest to apply certain parametric bootstrap methods in order to determine critical values of the tests.
Keywords: Bootstrap; model-specification; U-statistics; time series.