Publications
Kalliovirta, L. (2012): Misspecification Tests Based on Quantile Residuals, Econometrics Journal, vol. 15, Issue 2, pp.358-93. Working paper version and GAUSS codes
Working papers
Reliable Residuals for Multivariate Nonlinear Time Series Models Find the Gauss codes here as well.
Comparison of Misspecification Tests Designed for Nonlinear Time Series Models
A Gaussian mixture autoregressive model for univariate time series Find the Gauss codes here as well.
From structural breaks to regime switching: the nonlinearity in the process of income inequality