E.V. Khmaladze and H.L. Koul  Martingale transforms goodness-of-fit tests in regression models.

{\it Ann. Statist.}, 2004, {\bf 32}, 995-1034

H.L. Koul  and  Pingping Ni. Minimum distance regression model checking.  {\it J. Statist. Planning \& Inference}, (2004), {\bf 119(1)} 109-142.

 H.L. Koul, R.T. Baillie \& D. Surgailis.  Regression model checking with a long memory covariate

process. {\it Econometric Theory}, {\bf 20}, 2004, 485-512. 

Hira L. Koul and Shiqing Ling. Fitting an error distribution in some heteroscedastic time series models.