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On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models

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  • Enrique Sentana

    ()

  • Gabriele Fiorentini

    ()
    (CEMFI, Centro de Estudios Monetarios y Financieros)

Abstract

We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under normality. We also provide conditions for partial adaptivity of semiparametric procedures, and relate them to the consistency of distributionally misspecified maximum likelihood estimators. We propose Hausman tests that compare Gaussian pseudo maximum likelihood estimators with more efficient but less robust competitors. We also study the efficiency of sequential estimators of the shape parameters. Finally, we provide finite sample results through Monte Carlo simulations.

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Bibliographic Info

Paper provided by CEMFI in its series Working Papers with number wp2007_0713.

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Date of creation: Sep 2007
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Handle: RePEc:cmf:wpaper:wp2007_0713

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Keywords: Adaptivity; ARCH; elliptical distributions; financial returns; Hausman tests; semiparametric estimators; sequential estimators.;

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References

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  17. Sentana, E., 1994. "The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases," Papers 9420, Centro de Estudios Monetarios Y Financieros-.
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  29. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003. "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-46, October.
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