Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/253596 
Year of Publication: 
2021
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 12 [Issue:] 3 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2021 [Pages:] 683-742
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
We propose generalized DWH specification tests which simultaneously compare three or more likelihood-based estimators 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. We determine the rank of the differences between the estimators' asymptotic covariance matrices under correct specification, and take into account that some parameters remain consistently estimated under distributional misspecification. We provide finite sample results through Monte Carlo simulations. Finally, we analyze a structural Var proposed to capture the relationship between macroeconomic and financial uncertainty and the business cycle.
Subjects: 
Durbin-Wu-Hausman tests
partial adaptivity
semiparametric estimators
singular covariance matrices
uncertainty and the business cycle
JEL: 
C12
C14
C22
C32
C52
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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