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21-098/III - Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models


  • Authors
    F. Blasques, Vrije Universiteit Amsterdam, Tinbergen Institute; P. Gorgi, Vrije Universiteit Amsterdam, Tinbergen Institute; S.J. Koopman, Vrije Universiteit Amsterdam, Tinbergen Institute, CREATES Aarhus University
  • Publication date
    November 18, 2021
  • Keywords
    conditional score residuals, diagnostic analysis, residual autocorrelation, time series models
  • JEL
    C12, C22, C58