This paper proposes a nonparametric simultaneous test for parametric specification of the conditional mean and variance functions in a time series regression model. The test is based on an empirical likelihood (EL) statistic that measures the goodness-of-fit between the parametric estimates and...

This paper considers using asymmetric kernels in local linear smoothing to estimate a regression curve with bounded support. The asymmetric kernels are either beta kernels if the curve has a compact support or gamma kernels if the curve is bounded from one end only. While possessing the standard...

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined

This paper introduces an alternative testing procedure to test the distribution of the error term in the Autoregressive Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration by which its probability distribution may have...