-known Lilliefors test can be applied to the residuals of ARMA models without any change …

In this paper we propose a new battery of test statistics for dynamic specification and density functional form in a … goodness-of-fit tests, we also propose an additional test that focuses on the multivariate density functional form of the … problem. We perform Monte-Carlo simulations to investigate the size and power properties of the test statistics in finite …

. Consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator of volatility are outlined with remarks on …

returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator …

, if the break point is gleaned from the data. In this sense, applying a recursive tDF test to a unit root process which …, in line with Leybourne et al. (1998), some distortion in the Dickey-Fuller tDF test size, which depends on the break size …

Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical … values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS …