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dc.contributor.authorMencía González, Javier
dc.contributor.authorSentana, Enrique
dc.date.accessioned2019-08-10T17:57:17Z
dc.date.available2019-08-10T17:57:17Z
dc.date.issued2010
dc.identifier.issn0213-2710 (en papel)
dc.identifier.issn1579-8666 (en línea)
dc.identifier.urihttps://repositorio.bde.es/handle/123456789/7029
dc.description.abstractWe derive Lagrange Multiplier and Likelihood Ratio specifi cation tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. 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 equivalent to the Likelihood Ratio test, whose asymptotic distribution we provide. We conduct detailed Monte Carlo exercises to study our proposed tests 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
dc.format.extent65 p. : fórmulas, gráf.
dc.language.isoeng
dc.publisherBanco de España
dc.relation.ispartofDocumentos de trabajo / Banco de España, 0929
dc.rightsReconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0)
dc.rightsIn Copyright - Non Commercial Use Permitted
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES
dc.rights.urihttp://rightsstatements.org/vocab/InC-NC/1.0/
dc.subjectBootstrap
dc.subjectInequality constraints
dc.subjectCurtosis
dc.subjectNormality tests
dc.subjectSkewness
dc.subjectSupremum test
dc.subjectUnderidentified parameters
dc.titleDistributional tests in multivariate dynamic models with normal and student t innovations
dc.typeLibro
dc.identifier.bdebib000275716
dc.identifier.bdepubDTRA-200929-eng
dc.subject.bdeContraste de hipótesis
dc.subject.bdeModelos de series temporales
dc.subject.bdeConstrucción, validación y contraste
dc.publisher.bdeMadrid : Banco de España, 2010
dc.subject.jelC12
dc.subject.jelC52
dc.subject.jelC32
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