This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR–GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. We...

In this paper we connect the discrepancy between two estimates of Fisher information, one based on the quadratic variation of the score and the other based on the negative Hessian of the log-likelihood, to weak identification. Classical asymptotic approximations assume that these two estimates...

Este artículo presenta una revisión de diferentes investigaciones con respecto a doselementos básicos de la teoría de los ciclos económicos reales: los factores quedeterminan los ciclos económicos y las técnicas de filtrado (estadísticas o económicas)que permiten estimarlos. El trabajo...