We develop an omnibus specification test for multivariate continuous-time models using the conditional characteristic function, which often has a convenient closed-form or can be accurately approximated for many multivariate continuous-time models in finance and economics. The proposed test...

Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer–von Mises (GCM) specification tests for time series conditional distribution models using a novel approach, which embeds the empirical...

We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form or can be approximated accurately for many popular continuous-time Markov models in economics...

Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM) specification tests for time series conditional distribution models using a novel approach, which embeds the empirical...

Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, we propose a new approach to testing structural changes in GARCH models. The idea is to compare the log likelihoods of a time-varying parameter GARCH...

The Markov property is a fundamental property in time series analysis and is often assumed in economic and financial modelling. We develop a test for the Markov property using the conditional characteristic function embedded in a frequency domain approach, which checks the implication of the...

The Markov property is a fundamental property in time series analysis and is often assumed in economic and financial modeling. We develop a new test for the Markov property using the conditional characteristic function embedded in a frequency domain approach, which checks the implication of the...

The varying coefficient model is widely used as an extension of the linear regression model. Many procedures have been developed for the model estimation, and recently efficient variable selection procedures for the varying coefficient model have been proposed as well. However, those variable...

The rapid growth of transport requirements in China will incur increasing transport energy demands and associated environmental pressures. In this paper, we employ a generalized data envelopment analysis (DEA) to evaluate the relative energy efficiency of rail, road, aviation and water transport...