Conditional score residuals and diagnostic analysis of serial dependence in time series models
Year of publication: |
2021
|
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Authors: | Blasques, F. ; Gorgi, P. ; Koopman, Siem Jan |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | conditional score residuals | diagnostic analysis | residual autocorrelation | time series models |
Series: | Tinbergen Institute Discussion Paper ; TI 2021-098/III |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1778319106 [GVK] hdl:10419/248782 [Handle] RePEc:tin:wpaper:20210098 [RePEc] |
Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models ; c58 |
Source: |
-
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