| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12934 |
| DP12934 Specification tests for non-Gaussian maximum likelihood estimators | |
| ENRIQUE SENTANA; Gabriele Fiorentini | |
| 发表日期 | 2018-05-16 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We propose generalised DWH specification tests which simultaneously compare three or more likelihood-based estimators of conditional mean and variance parameters in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for GARCH models and in many empirically relevant macro and finance applications involving VARs and multivariate regressions. To design powerful and reliable tests, we determine the rank deficiencies of the differences between the estimators' asymptotic covariance matrices under the null of correct specification, and take into account that some parameters remain consistently estimated under the alternative of distributional misspecification. Finally, we provide finite sample results through Monte Carlo simulations. |
| 主题 | Financial Economics |
| 关键词 | Durbin-wu-hausman tests Partial adaptivity Semiparametric estimators Singular covariance matrices |
| URL | https://cepr.org/publications/dp12934 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541746 |
| 推荐引用方式 GB/T 7714 | ENRIQUE SENTANA,Gabriele Fiorentini. DP12934 Specification tests for non-Gaussian maximum likelihood estimators. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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