We present a robust Generalized Empirical Likelihood estimator and confidence region for the parameters of an autoregression that may have a heavy tailed error, and the error may be conditionally heteroscedastic of unknown form. The estimator exploits two transformations for heavy tail...

This paper presents a consistent GMM residuals-based test of functional form for time series models. By relating two moments we deliver a vector moment condition in which at least one element must be non-zero if the model is mis-specified. The test will never fail to detect mis-specification of...

We develop an asymptotically chi-squared statistic for testing moment conditions E[m(b0)] = 0, where m(b) may be weakly dependent, scalar components of m(b0) may have an infinite variance, and E[m(b)] need not exist for any b under the alternative. Score tests are a natural application, and in...