Models with high-dimensional covariates arise frequently in economics and other fields. Often, only a few covariates have important effects on the dependent variable. When this happens, the model is said to be sparse. In applications, however, it is not known which covariates are important and...

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...