We present a new test when there is a nuisance parameter λ under the alternative hypothesis. The test exploits the p-value occupation time [PVOT], the measure of the subset of λ on which a p-value test based on a test statistic Tn(λ) rejects the null hypothesis. The PVOT has only been...

This paper presents a bootstrapped p-value white noise test based on the maximum correlation, for a time series that may be weakly dependent under the null hypothesis. The time series may be prefiltered residuals. The test statistic is a normalized weighted maximum sample correlation...

We present a new robust bootstrap method for a test when there is a nuisance parameter under the alternative, and some parameters are possibly weakly or non-identified. We focus on a Bierens (1990)-type conditional moment test of omitted nonlinearity for convenience, and because of difficulties...