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normality
4
GMM
2
asymptotic normality
2
pseudo-score LM test
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sample selection model
2
variance targeting
2
BEKK
1
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kernel deconvolution estimator
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multivariate GARCH
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1
Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
; …
- In:
Econometrics
9
(
2021
)
2
,
pp. 1-21
(2sQML) estimator, this paper shows consistency and asymptotic
normality
under weak conditions. While second …
Persistent link: https://www.econbiz.de/10012696326
Saved in:
2
A note on the asymptotic
normality
of the kernel deconvolution density estimator with logarithmic chi-square noise
Zu, Yang
- In:
Econometrics
3
(
2015
)
3
,
pp. 561-576
This paper studies the asymptotic
normality
for the kernel deconvolution estimator when the noise distribution is …
Persistent link: https://www.econbiz.de/10011755293
Saved in:
3
Right on target, or is it? The role of distributional shape in variance targeting
Anatolyev, Stanislav A.
;
Khrapov, Stanislav
- In:
Econometrics
3
(
2015
)
3
,
pp. 610-632
investigate, via simulations, how non-
normality
features of the return distribution affect the quality of estimation of the …
Persistent link: https://www.econbiz.de/10011755296
Saved in:
4
A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model
Pfaffermayr, Michael
- In:
Econometrics
2
(
2014
)
4
,
pp. 151-168
considering more general, alternative semiparametric models that do not need the
normality
assumption, it seems useful to test …
Persistent link: https://www.econbiz.de/10011031444
Saved in:
5
A GMM-based test for normal disturbances of the Heckman sample selection model
Pfaffermayr, Michael
- In:
Econometrics
2
(
2014
)
4
,
pp. 151-168
considering more general, alternative semiparametric models that do not need the
normality
assumption, it seems useful to test …
Persistent link: https://www.econbiz.de/10010421301
Saved in:
6
Score Tests of
Normality
in Bivariate Probit Models
Murphy, Anthony
-
EconWPA
-
2005
A relatively simple and convenient score test of
normality
in the bivariate probit model is derived. Monte Carlo … testing
normality
in related models. …
Persistent link: https://www.econbiz.de/10005407907
Saved in:
7
A Nonparametric Way of Distribution Testing
Kilic, Ekrem
-
EconWPA
-
2005
nonparametric procedure. Although the procedure is applicable for all distributions, paper emphasizes on
normality
test.The critical … values for this
normality
test generated by using Monte Carlo techniques. …
Persistent link: https://www.econbiz.de/10005119063
Saved in:
8
On the Corrections to Information Matrix Tests
Cribari-Neto, Francisco
-
EconWPA
-
1996
, excess kurtosis,
normality
and heteroskedasticity tests are given. …
Persistent link: https://www.econbiz.de/10005556302
Saved in:
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