We propose various specification tests for Hawkes models based on the Lagrange Multiplier (LM) principle. Hawkes models can be used to model the occurrence of extreme events in financial markets. Our specific testing focus is on extending a univariate model to a multivariate model, that is, we...

Nonstationarity of the volatility process reflects low-frequency volatility changes of an economic time series, and its theoretical and empirical relevance has been widely recognized. We investigate how it affects CUSUM-related tests for structural change in regression coefficients....

This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based inference methods. The approach exploits the moments of...

This paper provides a simple approach for robust testing for the trend function in the time series under uncertainty over the order of integration of the error term. The proposed approach relies on the asymptotic normality of the trend coefficient estimator and utilises t-statistic approach of...

Large-scale inference has become increasingly popular in financial economics. I explore an empirical Bayes approach to large-scale multiple testing. The proposed approach bases its inference on the posterior probability that the null is true given the observed data. It provides a convenient way...

Numerous studies have been devoted to estimating and testing of moment condition models. Most of the current literature assumes that structural parameters are either fixed or changed abruptly. This paper considers the estimating and testing for smooth structural changes in moment condition...

We show that a straightforward modification of a trading based test for predictability displays interesting advantages over the Excess Profitability (EP) test (proposed by Anatolyev and Gerco) when testing the Martingale Difference Hypothesis. Our statistic is called Straightforward Excess...

We propose extensions of the Box-Pierce (1970) portmanteau autocorrelation test to allow for two generalisations: (i) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only after a fixed lag q. These extensions involve a generalised...

We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

This paper proposes a test statistic for the null hypothesis that a given time series is a stationary long memory process against the alternative hypothesis that it is of short memory, affected by regime change or a smoothly varying trend. The proposed test is in the frequency domain and is...