This paper presents a variety of tests of volatility spillover that are robust to heavy tails generated by large errors or GARCH-type feedback. The tests are couched in a general conditional heteroskedasticity framework with idiosyncratic shocks that are only required to have a finite variance...

Weak form efficiency of stock markets implies unpredictability of stock returns in a time series sense, and the latter is tested predominantly under a serial independence or martingale difference assumption. Since these properties rule out weak dependence that may exist in stock returns, it is...

We provide methods to robustly estimate the parameters of stationary ergodic short-memory time series models in the potential presence of additive low-frequency contamination. The types of contamination covered include level shifts (changes in mean) and monotone or smooth time trends, both of...

This paper proposes a new test for a large set of zero restrictions in regression models based on a seemingly overlooked, but simple, dimension reduction technique. The procedure involves multiple parsimonious regression models where key regressors are split across simple regressions. Each...

We develop Granger causality tests that apply directly to data sampled at different frequencies. We show that taking advantage of mixed frequency data allows us to better recover causal relationships when compared to the conventional common low frequency approach. We also show that the new...

This paper presents a consistent GMM residuals-based test of functional form for time series models. By relating two moments we deliver a vector moment condition in which at least one element must be non-zero if the model is mis-specified. The test will never fail to detect mis-specification of...

We develop an asymptotically chi-squared statistic for testing moment conditions E[m(b0)] = 0, where m(b) may be weakly dependent, scalar components of m(b0) may have an infinite variance, and E[m(b)] need not exist for any b under the alternative. Score tests are a natural application, and in...