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Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

  • Jean-Marie Dufour
  • Lynda Khalaf
  • Marie-Claude Beaulieu

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que leur distribution soit invariante à la matrice de covariance, inconnue, des erreurs. Notre approche utilise des mesures empiriques d'asymétrie et d'aplatissement de la distribution des erreurs, que nous comparons à des estimations engendrées par simulation de ces caractéristiques sous cette même hypothèse distributionnelle. Les cas spécifiques que nous étudions comprennent des tests sur les erreurs du modèle dans le cadre des lois normale, t de Student, mélange de normales et stable. Dans le cas gaussien, nous obtenons des versions exactes de tests d'ajustement standards sur l'asymétrie et l'aplatissement des erreurs dans le cas multivarié. À cette fin, nous utilisons des tests de Monte Carlo simples, doubles et multiples. Dans les cas non-gaussiens, comme les familles de lois dépendent de paramètres de nuisance, nous proposons des régions de confiance pour ces derniers et la distribution des erreurs. Les procédures introduites dans cet article sont alors évalulées par une simulation de petite taille. Finalement, les tests proposés sont appliqués à un modèle d'évaluation d'actifs impliquant un taux d'intérêt sans risque observable et utilisant les rendements de portefeuilles mensuels de titres inscrits à la bourse de New York, sur des sous-périodes de cinq ans allant de janvier 1926 à décembre 1995.

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Paper provided by CIRANO in its series CIRANO Working Papers with number 2003s-33.

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Length: 35 pages
Date of creation: 01 Mar 2003
Date of revision:
Handle: RePEc:cir:cirwor:2003s-33
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  10. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions," Journal of Econometrics, Elsevier, vol. 106(1), pages 143-170, January.
  11. Kilian, Lutz & Demiroglu, Ufuk, 2000. "Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 40-50, January.
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  22. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March.
  23. DUFOUR, Jean-Marie & KHALAF, Lynda, 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Universite de Montreal, Departement de sciences economiques.
  24. Allingham, Michael, 1991. "Existence Theorems in the Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 59(4), pages 1169-74, July.
  25. 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.
  26. Jobson, J. D. & Korkie, Bob, 1989. "A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning, and Mean-Variance Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 185-204, June.
  27. Chou, Pin-Huang, 2000. "Alternative Tests of the Zero-Beta CAPM," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 469-93, Winter.
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