This paper considers a nonparametric conditional moment test of stability of an econometric model against the alternative of instability. The alternative hypothesis allows for more than one structural change, although in this case it has to be fairly smooth. This complements existing results for...

This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the Bartlett <italic>T</italic>-process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed....

In a multiple time series regression model the residuals are heteroskedastic and serially correlated of unknown form. GLS estimates of the regression coefficients using kernel regression and spectral methods are shown to be adaptive, in the sense of having the same asymptotic distribution, to...

We consider a multivariate continuous-time process, generated by a system of linear stochastic differential equations, driven by white noise, and involving coefficients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points...

Asset returns are frequently assumed to be determined by one or more common factors. We consider a bivariate factor model where the unobservable common factor and idiosyncratic errors are stationary and serially uncorrelated but have strong dependence in higher moments. Stochastic volatility...