Artikel
Specification tests for non-Gaussian maximum likelihood estimators
We propose generalized DWH specification tests which simultaneously compare three or more likelihood-based estimators 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. We determine the rank of the differences between the estimators' asymptotic covariance matrices under correct specification, and take into account that some parameters remain consistently estimated under distributional misspecification. We provide finite sample results through Monte Carlo simulations. Finally, we analyze a structural Var proposed to capture the relationship between macroeconomic and financial uncertainty and the business cycle.
- Language
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Englisch
- Bibliographic citation
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 12 ; Year: 2021 ; Issue: 3 ; Pages: 683-742 ; New Haven, CT: The Econometric Society
- Classification
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Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Subject
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Durbin-Wu-Hausman tests
partial adaptivity
semiparametric estimators
singular covariance matrices
uncertainty and the business cycle
- Event
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Geistige Schöpfung
- (who)
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Fiorentini, Gabriele
Sentana, Enrique
- Event
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Veröffentlichung
- (who)
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The Econometric Society
- (where)
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New Haven, CT
- (when)
-
2021
- DOI
-
doi:10.3982/QE1406
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Fiorentini, Gabriele
- Sentana, Enrique
- The Econometric Society
Time of origin
- 2021
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