This article proposes omnibus specification tests of parametric dynamic quantile regression models. Contrary to the existing procedures, we allow for a flexible and general specification framework where a possibly continuum of quantiles are simultaneously specified. This is the case for many...

This paper proposes new specification tests for conditional models with discrete responses. In particular, we can test the static and dynamic ordered choice model specifications, which is key to apply efficient maximum likelihood methods, to obtain consistent estimates of partial effects and to...

This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series with asymmetric long memory properties. It is shown that tapering the data reduces the bias caused by the asymmetry of the spectral density at the cyclical frequency. We provide a joint treatment...

We consider a class of time series specification tests based on quadratic forms of weighted sums of residuals autocorrelations. Asymptotically distribution-free tests in the presence of estimated parameters are obtained by suitably transforming the weights, which can be optimally chosen to...