We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided...

Arellano (J Econ 42:247–265, 1989a) showed that valid equality restrictions on covariance matrices could result in efficiency losses for Gaussian PMLEs in simultaneous equations models. We revisit his two-equation example using finite normal mixtures PMLEs instead, which are also consistent...

We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments...