This paper presents a consistent GMM residuals-based test of functional form for time series models. By relating two moments we deliver a vector moment condition in which at least one element must be non-zero if the model is mis-specified. The test will never fail to detect mis-specification of...

We present a robust Generalized Empirical Likelihood estimator and confidence region for the parameters of an autoregression that may have a heavy tailed error, and the error may be conditionally heteroscedastic of unknown form. The estimator exploits two transformations for heavy tail...