Arbeitspapier
Consistent test for multivariate conditional distributions
We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. The proposed test is shown to have an asymptotic normal distribution under the null hypothesis, while being consistent for all fixed alternatives, and having non-trivial power against a sequence of local alternatives. Monte Carlo simulations show that our test has reasonable size and good power for both univariate and multivariate models, even for highly persistent dependent data with sample sizes often encountered in empirical finance.
- Language
-
Englisch
- Bibliographic citation
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Series: Bank of Canada Working Paper ; No. 2009-34
- Classification
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Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
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Econometric and statistical methods
Statistische Methode
Multikriteria-Verfahren
- Event
-
Geistige Schöpfung
- (who)
-
Li, Fuchun
Tkacz, Greg
- Event
-
Veröffentlichung
- (who)
-
Bank of Canada
- (where)
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Ottawa
- (when)
-
2009
- DOI
-
doi:10.34989/swp-2009-34
- Handle
- Last update
-
10.03.2025, 11:43 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
- Arbeitspapier
Associated
- Li, Fuchun
- Tkacz, Greg
- Bank of Canada
Time of origin
- 2009
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