Misspecification tests based on quantile residuals

DOI10.1111/j.1368-423X.2011.00364.xOpenAlexW2163287623MaRDI QIDQ5093190

Leena Kalliovirta

Publication date: 26 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2011.00364.x

zbMATH Keywords

Lagrange multiplier testmixture autoregressive modelgeneralized autoregressive conditional heteroscedasticitynon-linear time series modellikelihood framework

Mathematics Subject Classification ID

Statistics (62-XX)

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