Hsu, Shih-Hsun; Kuan, Chung-Ming - In: Journal of Econometrics 178 (2014) P1, pp. 71-79
Based on the well known Karhunen–Loève expansion, it can be shown that many omnibus tests lack power against “high frequency” alternatives. The smooth tests of Neyman (1937) may be employed to circumvent this power deficiency problem. Yet, such tests may be difficult to compute in many...