Thomaidis, Nikos S.; Dounias, Georgios D. - In: Quantitative Finance 12 (2012) 3, pp. 437-449
An integral part of econometric practice is to test the adequacy of model specifications. If a model is adequately specified, it should not leave interesting features of the data-generating process in the errors. Despite the common tradition, the importance of diagnostic checking as a safeguard...