Typically, model misspecification is addressed by statistics relying on model-residuals, i.e., on one-step ahead forecasting errors. In practice, however, users are often also interested in problems involving multi-step ahead forecasting performances, which are not explicitly addressed by...

In this paper we derive test statistics based on the Double Length Regressions (DLRs) for testing nonlinearity (functional forms) and/or spatial lag dependence. Specifically, we derive the DLR tests to jointly test for linear or loglinear models with no spatial lag dependence against a general...

In this paper we study the behavior of GARCH(1,1) parameter estimates when data is generated by certain types of stochastic volatility models including well known models from the literature on realized volatility and mathematical finance. Our main result states that the parameter estimates (a,b)...