Joint work with Mika Meitz and Pentti Saikkonen.
Find the paper here.
Download GAUSS codes:
University Lecturer, Statistics
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 misspeci
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.