Research

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

 

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