In this paper we study nonparametric estimation and hypothesis testing procedures for the functional coefficient AR (FAR) models of the form Xt = f1(Xt-d)Xt-1 +…+ fp(Xt-d)Xt-p +εt, first proposed by Chen and Tsay (1993). As a direct generalization of the linear AR model, the FAR model is a...

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...