Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/53819
Authors: 
Li, Fuchun
Tkacz, Greg
Year of Publication: 
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:

Files in This Item:
File
Size
224.3 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.