Lack-of-fit of a parametric measurement error AR(1) model
2020
Abstract This paper proposes an asymptotically distribution free test for fitting a parametric model to the autoregressive function in the AR(1) model in the presence of measurement error. The test is based on a martingale transform of a certain marked residual empirical process. A simulation study assessing the finite sample level and power performance of the proposed test is also included.
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