Generalized Spectral Testing with Sample Splitting (opens in new tab)

Residual-based goodness-of-fit tests for parametric time-series models are often complicated by parameter-estimation effects, which can alter the limiting behavior of diagnostic statistics. We propose a sample-splitting generalized spectral test (in the spirit of Escanciano(2006)) for assessing conditional mean specification in linear and nonlinear time-series models. The procedure estimates the model parameter on a fitting subsample and const...