A Consistent Test for Multivariate Conditional Distributions
AbstractWe 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 nontrivial 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.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 30 (2011)
Issue (Month): 3 ()
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Other versions of this item:
- Fuchun Li & Greg Tkacz, 2009. "A Consistent Test for Multivariate Conditional Distributions," Working Papers 09-34, Bank of Canada.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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