Sentana, Enrique; Mencía, Javier - Centro de Estudios Monetarios y Financieros (CEMFI) - 2008
We derive specification tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. In both cases, we decompose the corresponding Lagrange Multiplier-type tests into skewness and kurtosis components,...