It is a well-established fact that testing a null hypothesis on the boundary of the parameter space, with an unknown number of nuisance parameters at the boundary, is infeasible in practice in the sense that limiting distributions of standard test statistics are non-pivotal. In particular,...

This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi?nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to...