Kilani Ghoudi, Bruno Rémillard
In this paper, one studies the asymptotic behavior of empirical processes based on consecutive residuals of univariate conditional mean and variance models. These processes are then used to develop tests of serial independence of the innovations. Even if the limiting distributions of the empirical processes depend on unknown parameters, it is shown that a Monte Carlo method based on the so-called multipliers can be applied to estimate the P values of the proposed test statistics. A simulation study is carried out to demonstrate the effectiveness of the proposed tests and the behavior of the statistics is also studied under contiguous alternatives
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