Omnibus diagnostic procedures for vector multiplicative errors models

Simos G. Meintanis (), Joseph Ngatchou-Wandji () and Šárka Hudecová ()
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Simos G. Meintanis: National and Kapodistrian University of Athens
Joseph Ngatchou-Wandji: Université de Rennes (EHESP) & Institut Élie Cartan de Lorraine
Šárka Hudecová: Charles University

Statistical Papers, 2025, vol. 66, issue 2, No 4, 44 pages

Abstract: Abstract We suggest specification tests for the conditional mean function in vector multiplicative error models. The test statistics are easy to compute given a suitable estimator of the model parameters. Consistency of the test statistic is proved, the asymptotic distribution of the test under the null hypothesis is studied, while a bootstrap resampling is used in order to approximate critical points and actually carry out the test. Finite-sample results are presented as well as applications of the proposed procedures to real data from the financial markets.

Keywords: Multivariate time series; Goodness-of-fit test; Bierens’ test; Bootstrap test; 62M10 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s00362-024-01653-y

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