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Enrique SENTANA (Cemfi) – “Specification Tests for non-Gaussian Maximum Likelihood Estimators”
October 26, 2017, 11:00 am - 12:00 pm
FINANCIAL ECONOMETRICS SEMINAR
Time: 11:00 pm – 12:00 pm
Date: 26th of October 2017
Place: Room 3049.
Enrique SENTANA (CEMFI) – “Specification Tests for non-Gaussian Maximum Likelihood Estimators”.
Abstract: We propose generalised DWH specification tests which simultaneously compare three or more likelihood-based estimators of conditional mean and variance parameters in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for GARCH models and in many empirically relevant macro and finance applications involving VARs and multivariate regressions. To design powerful and reliable tests, we determine the rank deficiencies of the differences between the estimators’ asymptotic covariance matrices under the null of correct specification and take into account that some parameters remain consistently estimated under the alternative of distributional misspecification. Finally, we provide finite sample results through Monte Carlo simulations.
Joint Paper : Gabriele FIORENTINI
Jean-Michel ZAKOIAN (CREST )
CREST and ILB
Address : ENSAE ParisTech
5, avenue Henry Le Chatelier
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