This paper proposes a nonparametric simultaneous test for parametric specification of the conditional mean and variance functions in a time series regression model. The test is based on an empirical likelihood (EL) statistic that measures the goodness of fit between the parametric estimates and...

In order to improve the small sample performance of the Generalized Empirical Likelihood Kleibergen type tests (GELK), we propose to re-weight the variance of moments matrix with GEL probabilities. Our modification improves GELK significantly by cutting the size distortion in half. Using...