Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
未知形式条件异方差下时间序列条件均值模型的广义谱检验
Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for time series conditional mean models, where the dimension of the conditioning information set may be infinite. Both linear and nonlinear conditional mean specifications are covered. The tests can detect a wide range of model misspecifications in mean while being robust to…