We propose a simultaneous model specification procedure for the conditional mean and conditional variance in nonparametric and semiparametric time series econometric models. An adaptive and optimal model specification test procedure is then constructed and its asymptotic properties are...

In this paper, we use a maximal invariant likelihood (MIL) to construct two likelihood ratio (LR) tests. The first involves testing for the inclusion of a non-linear regressor and the second involves testing of a linear regressor against the alternative of a non-linear regressor. We report the...

Kernel density estimation for multivariate data is an important technique that has a wide range of applications in econometrics and finance. However, it has received significantly less attention than its univariate counterpart. The lower level of interest in multivariate kernel density...