This paper considers tests for seasonal and non-seasonal serial correlation in time series and in the errors of regression models. The problem of testing for white noise against multiplicative seasonal ARMA(l,l)-ARMA(l,l) alternatives is investigated. This testing problem is non-standard due to...

This paper considers testing problems where several of the standard regularity conditions fail to hold. We consider the case where (i) parameter vectors in the null hypothesis may lie on the boundary of the maintained hypothesis and (ii) there may be a nuisance parameter that appears under the...

The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration vectors is given a simple parametric formulation in...

This paper presents the likelihood ratio (LR) test for the number of cointegrating and multi-cointegrating relations in the I(2) vector autoregressive model. It is shown that the asymptotic distribution of the LR test for the (multi-) cointegration ranks is identical to the asymptotic...

This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non-stationary vector valued autoregressive time series models with Gaussian errors, where the model includes a constant term and seasonal dummies. The hypothesis of cointegration is...

This paper considers tests of nonlinear parametric restrictions in semiparametric econometric models. To date, only Wald tests of such restrictions have been considered in the literature. Here, Wald, Lagrange multiplier, and likelihood ratio-like test statistics are considered and are shown to...

This paper extends the classical Chow (1960) test for structural change in linear regression models to a wide variety of nonlinear models, estimated by a variety of different procedures. Wald, Lagrange multiplier-like, and likelihood ratio-like test statistics are introduced. The results allow...