This paper studies the goodness-of-fit test of the residual empirical process of a nearly unstable long-memory time series. Chan and Ling (2008) showed that the usual limit distribution of the Kolmogorov-Smirnov test statistics does not hold for an unstable autoregressive model. A key question of interest is what happens when this model has a near unit root, that is, when it is nearly unstable. In this paper, it is established that the statistics proposed by Chan and Ling can be generalized to encompass nearly unstable long-memory models. In particular, the limit distribution is expressed as a functional of an Ornstein-Uhlenbeck process that is driven by a fractional Brownian motion. Simulation studies demonstrate that the limit distribution of the statistic possesses desirable finite sample properties and power.
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