This paper proposes a quasi-likelihood ratio (QLR) test for the null of constant parameters against the alternative of score-driven parameter dynamics. Score-driven models have been widely used in the literature to capture time variation in parameters across a diverse range of both continuous...

This paper proposes a quasi-likelihood ratio (QLR) test for the null of constant parameters against the alternative of score-driven parameter dynamics. Score-driven models have been widely used in the literature to capture time variation in parameters across a diverse range of both continuous...

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...

In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The...

In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The...