This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

This paper provides a general framework for constructing specification tests for parametric and semiparametric models. The paper develops new specification tests using the general framework. In particular, specification tests for semiparametric partially linear regression, sample selection, and...

The problem considered here is that of using a data-driven procedure to select a good estimate from a class of linear estimates indexed by a discrete parameter. In contrast to other papers on this subject, we consider models with heteroskedastic errors. The results apply to model selection...

This paper is concerned with tests for serial correlation in time series and in the errors of regression models. In particular, the nonstandard problem of testing for white noise against ARMA(1,1) alternatives is considered. Sup Lagrange multiplier (LM) and exponential average LM tests are...

This paper determines a class of finite sample optimal tests for the existence of a changepoint at an unknown time in a normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. Power comparisons of several tests are provided based on...

This paper considers series estimators of additive interactive regression (AIR) models. AIR models are nonparametric regression models that generalize additive regression models by allowing interactions between different regressor variables. They place more restrictions on the regression...

This paper discusses some uses econometrics of functional limit theory for dependent random variables. Attention is focused on empirical process-type results rather than partial sum results that are prevalent in unit root econometrics. Examples considered include nonstandard parametric...

This paper introduces a conditional Kolmogorov test of model specification for parametric models with covariates (regressors). The test is an extension of the Kolmogorov test of goodness-of-fit for distribution functions. The test is shown to have power against 1/{root n}-local alternatives and...

Recently Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. His analysis covers the Nelson-Plosser macroeconomic data series as...

This paper shows how the modern machinery for generating abstract empirical central limit theorems can be applied to arrays of dependent variables. It develops a bracketing approximation based on a moment inequality for sums of strong mixing arrays, in an effort to illustrate the sorts of...