|
EconStor >
Bank of Canada, Ottawa >
Bank of Canada Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/53819
|
| | |
| Title: | | Consistent test for multivariate conditional distributions  |
| Authors: | | Li, Fuchun Tkacz, Greg |
| Issue Date: | | 2009 |
| Series/Report no.: | | Bank of Canada Working Paper 2009,34 |
| Abstract: | | We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. The proposed test is shown to have an asymptotic normal distribution under the null hypothesis, while being consistent for all fixed alternatives, and having non-trivial power against a sequence of local alternatives. Monte Carlo simulations show that our test has reasonable size and good power for both univariate and multivariate models, even for highly persistent dependent data with sample sizes often encountered in empirical finance. |
| Subjects: | | Econometric and statistical methods |
| JEL: | | C12 C22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Bank of Canada Working Papers
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/53819
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|