In this article we study a general class of goodness-of-fit tests for the conditional mean of a linear or nonlinear time series model. Among the properties of the proposed tests are that they are suitable when the conditioning set is infinite-dimensional; are consistent against a broad class of...

This paper proposes omnibus and directional tests for testing the goodness-of-fit of a parametric regression time series model. We use a general class of residual marked empirical processes as the building-blocks for estimation and testing of such models. First, we establish a weak convergence...

This paper proposes an omnibus test for testing a generalized version of the martingale difference hypothesis (MDH). This generalized hypothesis includes the usual MDH, testing for conditional moments constancy such as conditional homoscedasticity (ARCH effects) or testing for directional...

This paper proposes a consistent test for the goodness-of-fit of parametric regression models which overcomes two important problems of the existing tests, namely, the poor empirical power and size performance of the tests due to the curse of dimensionality and the choice of subjective...

Economic theories in dynamic contexts usually impose certain restrictions on the conditional mean of the underlying economic variables. Omnibus specification tests are the primary tools to test such restrictions when there is no information on the possible alternative. In this paper we study in...

This article proposes omnibus specification tests of parametric dynamic quantile regression models. Contrary to the existing procedures, we allow for a flexible and general specification framework where a possibly continuum of quantiles are simultaneously specified. This is the case for many...

This article proposes a general class of joint and marginal diagnostic tests for parametric conditional mean and variance models of possibly nonlinear non-Markovian time series sequences. The use of joint and marginal tests is motivated from the fact that marginal tests for the conditional...

The purpose of the present paper is to relate two important concepts of time series analysis, namely, nonlinearity and persistence. Traditional mea- sures of persistence are based on correlations or periodograms, which may be inappropriate under nonlinearity and/or non-Gaussianity. This article...

One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk. Since then, the capital requirements of commercial banks with trading activities are based on VaR estimates. Therefore,...

This paper considers a situation where the violation of a single-index restriction is a concern only to the extent that it causes bias to the estimates of the average derivatives. We propose a method to construct tests that concentrate their asymptotic powers upon only such interesting...