On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models

Gabriele Fiorentini and Enrique Sentana

Working Paper series from Rimini Centre for Economic Analysis

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.

Keywords: Adaptivity; ARCH; Elliptical Distributions; Financial Returns; Hausman tests; Semiparametric Estimators; Sequential Estimators (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 C51 C52 (search for similar items in EconPapers)
Date: 2007-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)

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http://www.rcea.org/RePEc/pdf/wp38_07.pdf

Related works:
Working Paper: On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:38_07

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