considered before all use nonparametric statistics.On the technical side, we provide a novel approach to the pre-estimation …This paper offers an alternative technique to derive the limiting distribution of residual-based statistics or, more … general, the limiting distribution of statistics with estimated nuisance parameters.This technique allows us to unify many …

the asymptotic test distribution when applied to AR-GARCH type residuals obtained through QMLE estimation. To be precise …, we give exact expressions for the limiting null distribution of the test statistics applied to residuals, and find that …