Specification tests for non‐Gaussian maximum likelihood estimators
We propose generalized DWH specification tests which simultaneously compare three or more likelihood‐based estimators 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. We determine the rank of the differences between the estimators' asymptotic covariance matrices under correct specification, and take into account that some parameters remain consistently estimated under distributional misspecification. We provide finite sample results through Monte Carlo simulations. Finally, we analyze a structural
Var proposed to capture the relationship between macroeconomic and financial uncertainty and the business cycle.
Year of publication: |
2021
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Authors: | Fiorentini, Gabriele ; Sentana, Enrique |
Published in: |
Quantitative Economics. - The Econometric Society, ISSN 1759-7323, ZDB-ID 2569569-1. - Vol. 12.2021, 3, p. 683-742
|
Publisher: |
The Econometric Society |
Saved in:
Online Resource
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