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.
Specification tests for non-Gaussian maximum likelihood estimators, / GABRIELE FIORENTINI; ENRIQUE SENTANA. - In: QUANTITATIVE ECONOMICS. - ISSN 1759-7323. - STAMPA. - 12:(2021), pp. 683-742. [10.3982/QE1406]
Specification tests for non-Gaussian maximum likelihood estimators,
GABRIELE FIORENTINI;
2021
Abstract
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.File in questo prodotto:
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