This paper proposes an omnibus test for testing a generalized version of the martingale difference hypothesis (MDH). This generalized hypothesis includes the usual MDH, testing for conditional moments constancy such as conditional homoscedasticity (ARCH effects) or testing for directional...

We propose tests of the null of spurious relationship against the alternative of fractional cointegration among the components of a vector of fractionally integrated time series. Our test statistics have an asymptotic chi-square distribution under the null and rely on GLS-type of corrections...

Cointegration of nonstationary time series is considered in a fractional context. Both the observable series and the cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are 1 and 0 is nested, but these values have typically been...

A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I(0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the cointegrating parameter ν are considered, one involving inverse spectral...