Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations
Javier Mencia () and
Enrique Sentana
The Review of Economics and Statistics, 2012, vol. 94, issue 1, 133-152
Abstract:
We derive Lagrange multiplier and likelihood ratio specification tests for the null hypotheses of multivariate normal and Student-t innovations using the generalized hyperbolic distribution as our alternative hypothesis. We decompose the corresponding Lagrange multiplier-type tests into skewness and kurtosis components. We also obtain more powerful one-sided Kuhn-Tucker versions that are equivalent to the likelihood ratio test, whose asymptotic distribution we provide. Finally, we conduct detailed Monte Carlo exercises to study the size and power properties of our proposed tests in finite samples. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (35)
Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00141 link to full text (application/pdf)
Access to full text is restricted to subscribers.
Related works:
Working Paper: Distributional tests in multivariate dynamic models with Normal and Student t innovations (2009) 
Working Paper: Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations (2008) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:94:y:2012:i:1:p:133-152
Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535
Access Statistics for this article
The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu
More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().