Misspecification tests based on quantile residuals

DOI10.1111/J.1368-423X.2011.00364.XMaRDI QIDQ5093190zbMATH OpenOpenAlexFDO

Authors Leena Kalliovirta

Publication date 26 July 2022

Published in 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

generalized autoregressive conditional heteroscedasticityLagrange multiplier testlikelihood frameworkmixture autoregressive modelnon-linear time series model

Mathematics Subject Classification ID

Statistics (62-XX)

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(8)

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• A mixture autoregressive model based on Gaussian and Student's t-distributions
• Forecasting aggregate claims using score‐driven time series models
• RESET for quantile regression
• Censored autoregressive regression models with student-t innovations
• Positive time series regression models: theoretical and computational aspects
• A Matsuoka-based GARMA model for environmental and energy systems: theory, estimation, and applications
• Gaussian mixture vector autoregression

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