This paper proposes a sign-based portmanteau test for diagnostic checking of ARCH-type models estimated by the least absolute deviation approach. Under the strict stationarity condition, the asymptotic distribution is obtained. The new test is applicable for very heavy-tailed innovations with...

This paper investigates the joint limiting distribution of the residual autocorrelation functions and the absolute residual autocorrelation functions of ARMA-GARCH model. This leads a mixed portmanteau test for diagnostic checking of the ARMA-GARCH model fitted by using the quasi-maximum...

Econometricians generally take for granted that the error terms in the econometric models are generated by distributions having a finite variance. However, since the time of Pareto the existence of error distributions with infinite variance is known. Works of many econometricians, namely, Meyer...

This paper provides a robust statistical approach to nonstationary time series regression and inference. Fully modified extensions of traditional robust statistical procedures are developed which allow for endogeneities in the nonstationary regressors and serial dependence in the shocks that...