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On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models

Gabriele Fiorentini () and Enrique Sentana ()

Working Papers from CEMFI

Abstract: We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under normality. We also provide conditions for partial adaptivity of semiparametric procedures, and relate them to the consistency of distributionally misspecified maximum likelihood estimators. We propose Hausman tests that compare Gaussian pseudo maximum likelihood estimators with more efficient but less robust competitors. We also study the efficiency of sequential estimators of the shape parameters. Finally, we provide finite sample results through Monte Carlo simulations.

New Economics Papers: this item is included in nep-ets and nep-ore
Date: 2007
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Working Paper: On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models (2007) Downloads
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