A Consistent Test for Multivariate Conditional Distributions

Fuchun Li and Greg Tkacz ()

Staff Working Papers from Bank of Canada

Abstract: 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.

Keywords: Econometric; and; statistical; methods (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2009
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:09-34

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