In this paper we develop tests of functional form that are consistent against a class of nonlinear "smooth transition" models of the conditional mean. Our method is an extension of the consistent model specification tests developed by Bierens (1990), de Jong (1996) and Bierens and Ploberger...

We develop asymptotically chi-squared tests of tail specific extremal serial dependence for possibly heavy-tailed time series, including infinite variance and infinite mean processes. Our test statistics have a chi-squared limit distribution under the null of "extremal white-noise" for processes...

We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis-specification of the short memory dynamics may result in...

We make three contributions to using the variance ratio statistic at large horizons. Allowing for general heteroscedasticity in the data, we obtain the asymptotic distribution of the statistic when the horizon k is increasing with the sample size n but at a slower rate so that k/n¨0. The test...

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

In this paper we prove Wold-type decompositions with strong-orthogonal prediction innovations exist in smooth, reflexive Banach spaces of discrete time processes if and only if the projection operator generating the innovations satisfies the property of iterations. Our theory includes as special...