Moment condition tests for heavy tailed time series
重尾时间序列的矩条件检验
We develop an asymptotically chi-squared statistic for testing moment conditions E[mt(θ0)]=0, where mt(θ0) may be weakly dependent, scalar components of mt(θ0) may have an infinite variance, and E[mt(θ)] need not exist for any θ under the alternative. Score tests are a natural application, and in general a variety of tests can be heavy-tail robustified by our method, including white noise, GARCH affects, omitted variables, distribution, functional form, causation, volatility…