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.
2021
12
683
742
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GABRIELE FIORENTINI; ENRIQUE SENTANA
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Utilizza questo identificatore per citare o creare un link a questa risorsa: https://hdl.handle.net/2158/1246687
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