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A Consistent Test for Multivariate Conditional Distributions

Author

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  • Fuchun Li
  • Greg Tkacz

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 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.

Suggested Citation

  • Fuchun Li & Greg Tkacz, 2011. "A Consistent Test for Multivariate Conditional Distributions," Econometric Reviews, Taylor & Francis Journals, vol. 30(3), pages 251-273.
    • Handle: RePEc:taf:emetrv:v:30:y:2011:i:3:p:251-273
    DOI: 10.1080/07474938.2011.553518
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    Cited by:

    1. Frank Schuhmacher & Hendrik Kohrs & Benjamin R. Auer, 2021. "Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed," Management Science, INFORMS, vol. 67(12), pages 7812-7824, December.
    2. Kheifets, Igor L., 2018. "Multivariate specification tests based on a dynamic Rosenblatt transform," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 1-14.

    More about this item

    Keywords

    Absolutely regular process; Consistent test; Degenerate U-statistics; Stochastic differential equation;
    All these keywords.

    JEL classification:

    • 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; Diffusion Processes

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