This article proposes a test for the Martingale Difference Hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are...

This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...

This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...

Designed to have power against all alternatives, omnibus consistent tests are the primary econometric tools for testing the correct specification of parametric conditional means when there is no information about the possible alternative. The main purpose of this paper is to show that, contrary...

This article introduces a data-driven Box-Pierce test for serial correlation. The proposed test is very attractive compared to the existing ones. In particular, implementation of this test is extremely simple for two reasons: first, the researcher does not need to specify the order of the...

This paper establishes the weak convergence of a class of marked empirical processes of possibly non-stationary and/or non-ergodic multivariate time series sequences under martingale conditions. The assumptions involved are similar to those in Brown's martingale central limit theorem. In...

This article investigates model checks for a class of possibly nonlinear heteroskedastic time series models, including but not restricted to ARMA-GARCH models. We propose omnibus tests based on functionals of certain weighted standardized residual empirical processes. The new tests are...

This article investigates model checks for a class of possibly nonlinear heteroskedastic time series models, including but not restricted to ARMA-GARCH models. We propose omnibus tests based on functionals of certain weighted standardized residual empirical processes. The new tests are...