This paper offers an alternative technique to derive the limiting distribution of residual-based statistics or, more general, the limiting distribution of statistics with estimated nuisance parameters. This technique allows us to unify many known results on two-stage estimators and tests and we...

What's the asymptotic null distribution of a rank-based serial autocorrelation test applied to residuals of an estimated GARCH model? What's the limiting distribution of estimated ACD parameters applied to the residuals of some first-stage modelling procedure? This paper addresses the often...