Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for time series conditional mean models, where the dimension of the conditioning information set may be...

Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for time series conditional mean models, where the dimension of the conditioning information set may be...

We introduce a simple method for constructing a scoring rule to elicit an agent's belief about a random variable that is incentive compatible irrespective of her risk-preference. The agent receives a fixed prize when her prediction error, defined by a loss function specified in the incentive...