In this paper we develop nonparametric estimators of the joint time series data generating process (DGP) of (<italic>x</italic>, <italic>y</italic>) at different <italic>t</italic>-values, of conditional DGP, of the conditional mean of <italic>x</italic> given the past values of <italic>x</italic> and <italic>y</italic>, and, more generally, the conditional mean of (<italic>x</italic>, <italic>y</italic>) given their past values...

In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R²) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being...