REFERENCES
- Anderson , T. W. ( 2003 ). An Introduction to Multivariate Statistical Analysis. , 3rd ed. New York : Wiley .
- Andrews , D. W. K. ( 1991 ). Heteroskedasticity and autocorrelation consistent covariance matrix estimation . Econometrica 59 : 817 – 858 .
- Bartlett , M. S. ( 1950 ). Periodogram analysis and continuous spectra . Biometrika 37 : 1 – 16 .
- Bera , A. K. , Bilias , Y. ( 2001 ). Rao's score, Neyman's C(α), and Silvey's LM tests: An essay on historical developments and some new results . Journal of Statistical Planning and Inference 97 : 9 – 44 .
- Berkes , I. , Horváth , L. , Kokoszka , P. ( 2003 ). Asymptotics for GARCH squared residual correlations . Econometric Theory 19 : 515 – 540 .
- Bernanke , B. , Bohn , H. , Reiss , P. C. ( 1988 ). Alternative non-nested specification tests of time-series investment models . Journal of Econometrics 37 : 293 – 326 .
- Box , G. E. P. , Pierce , D. A. ( 1970 ). Distribution of the autocorrelations in autoregressive moving average time series models . Journal of American Statistical Association 65 : 1509 – 1526 .
- Bunzel , H. , Kiefer , N. M. , Vogelsang , T. J. ( 2001 ). Simple robust testing of hypotheses in nonlinear models . Journal of the American Statistical Association 96 : 1088 – 1096 .
- Cameron , A. C. , Trivedi , P. K. ( 2005 ). Microeconometrics: Methods and Applications . New York : Cambridge University Press .
- Chen , Y.-T. ( 2008 ). A unified approach to standardized-residuals-based correlation tests for GARCH-type models . Journal of Applied Econometrics 23 : 111 – 133 .
- Chesher , A. , Smith , R. ( 1997 ). Likelihood ratio specification tests . Econometrica 65 : 627 – 646 .
- Choi , H. S. , Kiefer , N. M. ( 2008 ). Robust nonnested testing and the demand for money . Journal of Business & Economic Statistics 26 : 9 – 17 .
- Cox , D. R. ( 1961 ). Tests of separate families of hypotheses. In: Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability. Vol. 1. Berkeley: University of California Press, pp. 105–123 .
- Davidson , R. , MacKinnon , J. G. ( 1981 ). Several tests for model misspecification in the presence of alternative hypotheses . Econometrica 49 : 781 – 793 .
- Durbin , J. (1970). Testing for serial correlation in least squares regression when some of the regressors are lagged dependent variables. Econometrica 38:410–421.
- Elyasiani , E. , Nasseh , A. ( 1994 ). The appropriate scale variable in the U.S. money demand: an application of nonnested tests of consumption versus income measures . Journal of Business & Economic Statistics 12 : 47 – 55 .
- Foley , R. D. , Goldman , D. ( 1999 ). Confidence intervals using orthonormally weighted standardized time series . ACM Transactions on Modeling and Computer Simulation 19 : 297 – 325 .
- Glosten , L. R. , Jagannathan , R. , Runkle , D. E. ( 1993 ). On the relation between the expected value and the volatility of the nominal excess return on stocks . Journal of Finance 5 : 1779 – 1801 .
- Hall , P. , Heyde , C. C. ( 1980 ). Martingale Limit Theory and Its Application . New York : Academic Press .
- Hansen , B. E. ( 1994 ). Autoregressive conditional density estimation . International Economic Review 35 : 705 – 730 .
- Hausman , J. A. ( 1978 ). Specification tests in econometrics . Econometrica 46 ( 6 ): 1251 – 1271 .
- Hentschel , L. ( 1995 ). All in the family nesting symmetric and asymmetric GARCH models . Journal of Financial Economics 39 : 71 – 104 .
- Kiefer , N. M. , Vogelsang , T. J. ( 2005 ). A new asymptotic theory for heteroskedasticity-autocorrelation robust tests . Econometric Theory 21 : 1130 – 1164 .
- Kiefer , N. M. , Vogelsang , T. J. , Bunzel , H. ( 2000 ). Simple robust testing of regression hypothesis . Econometrica 68 : 695 – 714 .
- Koenker , R. , Bassett , G. ( 1978 ). Regression quantiles . Econometrica 46 : 33 – 50 .
- Kuan , C.-M. , Lee , W.-M. ( 2006 ). Robust M tests without consistent estimation of the asymptotic covariance matrix . Journal of the American Statistical Association 101 : 1264 – 1275 .
- Li , W. K. , Mak , T. K. ( 1994 ). On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity . Journal of Time Series Analysis 15 : 627 – 636 .
- Ljung , G. M. , Box , G. E. P. ( 1978 ). On a measure of a lack of fit in time series models . Biometrika 65 : 297 – 303 .
- Lobato , I. N. ( 2001 ). Testing that a dependent process is uncorrelated . Journal of the American Statistical Association 96 : 1066 – 1076 .
- Lundbergh , S. , Teräsvirta , T. ( 2002 ). Evaluating GARCH models . Journal of Econometrics 110 : 417 – 435 .
- Mankiw , N. G. , Summers , L. H. ( 1986 ). Money demand and the effects of fiscal policies . Journal of Money, Credit and Banking 18 : 415 – 429 .
- McLeod , A. I. , Li , W. K. ( 1983 ). Diagnostic checking ARMA time series models using squared-residual autocorrelations . Journal of Time Series Analysis 4 : 269 – 273 .
- Nelson , D. ( 1991 ). Conditional heteroskedasticity in asset returns: a new approach . Econometrica 59 : 347 – 370 .
- Newey , W. K. ( 1985 ). Maximum likelihood specification testing and conditional moment tests . Econometrica 53 : 1047 – 1070 .
- Newey , W. K. , McFadden , D. L. ( 1994 ). Large sample estimation and hypothesis testing . R. F. Engle and D. L. McFadden , (eds.). Handbook of Econometrics . Vol. IV , Amsterdam : Elsevier .
- Pagan , A. , Vella , F. ( 1989 ). Diagnostic tests for models based on individual data: A survey . Journal of Applied Econometrics 4 : S29 – S59 .
- Shao , X. F. ( 2010 ). A self-normalized approach to confidence interval construction in time series . Journal of the Royal Statistical Society, Series, B 72 : 343 – 366 .
- Sun , Y. ( 2011 ). Robust trend inference with series variance estimator and testing-optimal smoothing parameter . Journal of Econometrics 164 : 345 – 366 .
- Sun , Y. , Kim , M. S. ( 2011 ). Simple and powerful GMM over-identification tests with accurate size . Forthcoming in Journal of Econometrics .
- Sun , Y. , Phillips , P. C. B. , Jin , S. ( 2008 ). Optimal bandwidth selection in heteroskedasticity-autocorrelation robust testing . Econometrica 76 : 175 – 194 .
- Tauchen , G. ( 1985 ). Diagnostic testing and evaluation of maximum likelihood models . Journal of Econometrics 30 : 415 – 443 .
- Qu , Z. ( 2008 ). Testing for structural change in regression quantiles . Journal of Econometrics 146 : 170 – 184 .
- White , H. ( 1982 ). Maximum likelihood estimation of misspecified models . Econometrica 50 : 1 – 25 .
- White , H. ( 1984 ). Comment on “Tests of specification in econometrics.” Econometric Reviews 3 : 261 – 267 .
- White , H. (1994). Estimation, Inference and Specification Analysis . New York : Cambridge University Press.
- Wong , H. , Ling , S. ( 2005 ). Mixed portmanteau tests for time series . Journal of Time Series Analysis 26 : 569 – 579 .
- Wooldridge , J. M. ( 1990 ). A unified approach to robust, regression-based specification tests . Econometric Theory 6 : 17 – 43 .
- Wooldridge , J. M. ( 1991 ). On the application of robust, regression-based diagnostics to models of conditional means and conditional variances . Journal of Econometrics 47 : 5 – 46 .