In this article, the authors show that a generalized version of H. J. Bierens' integrated conditional moment (ICM) test of functional form has nontrivial root-n local power, where n is the sample size, and that for a class of large local alternatives the consistent ICM test is more powerful than...

In this paper, it will be shown that if we condition a <italic>k</italic>-variate rational-valued time series process on its entire past, it is possible to capture all relevant information on the past of the process by a single random variable. This scalar random variable can be formed as an autoregressive...