This paper obtains the joint limiting distribution of residuals and squared residuals of a general time-series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time-series models. In some cases, it is shown that this statistic can be simply...

This paper investigates regression quantiles (RQ) for unstable autoregressive models. The uniform Bahadur representation of the RQ process is obtained. The joint asymptotic distribution of the RQ process is derived in a unified manner for all types of characteristic roots on or outside the unit...