University of Helsinki
PDF Document:
https://blogs.helsinki.fi/lkvaisan/files/2010/11/Comparisons.pdf
Abstract:
We use GARCH and regime switching models to compare the reliability
of recently proposed misspeciĀ
cation tests. Our simulations indicate that
simple moment based LM type tests are more reliable than other moment
based tests or tests that employ the empirical distribution function or non-
parametric methods.