Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations

Javier Mencia () and Enrique Sentana

Working Papers from CEMFI

Abstract: We derive specification tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. In both cases, we decompose the corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one-sided Kuhn-Tucker versions that are asymptotically equivalent to the Likelihood Ratio test. We conduct detailed Monte Carlo exercises that compare our proposed tests with their competitors in finite samples. Finally, we present an empirical application to ten US sectoral stock returns, which indicates that their conditional distribution is mildly asymmetric and strongly leptokurtic.

Date: 2008-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cemfi.es/ftp/wp/0804.pdf (application/pdf)

Related works:
Journal Article: Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations (2012)
Working Paper: Distributional tests in multivariate dynamic models with Normal and Student t innovations (2009)
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:cmf:wpaper:wp2008_0804

Access Statistics for this paper

More papers in Working Papers from CEMFI Contact information at EDIRC.
Bibliographic data for series maintained by Araceli Requerey ().