Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/217161
Authors: 
Almuzara, Martín
Amengual, Dante
Sentana, Enrique
Year of Publication: 
2019
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 10 [Year:] 2019 [Issue:] 3 [Pages:] 981-1017
Abstract: 
We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student ts. We decompose our tests into third and fourth moment components, and obtain one-sided likelihood ratio analogues, whose asymptotic distribution we provide. When we apply our tests to a common trend model which combines the expenditure and income versions of US aggregate real output to improve its measurement, we reject normality if the sample period extends beyond the Great Moderation.
Subjects: 
Cointegration
gross domestic product
gross domestic income
kurtosis
Kuhn-Tucker test
skewness
supremum test
Wiener-Kolmogorov-Kalman smoother
JEL: 
C32
C52
E01
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/4.0/
Document Type: 
Article

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