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