Specification tests for non-Gaussian maximum likelihood estimators

DOI10.3982/QE1406zbMATH Open1477.62240OpenAlexW3125472966MaRDI QIDQ5164499FDOQ5164499

Authors: Gabriele Fiorentini, Enrique Sentana 

Publication date: 11 November 2021

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe1406

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• scientific article; zbMATH DE number 3923929

zbMATH Keywords

semiparametric estimatorssingular covariance matricesDurbin-Wu-Hausman testspartial adaptivityuncertainty and the business cycle

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

Cited In (4)

• The Jacobian of the exponential function
• Consistent non-Gaussian pseudo maximum likelihood estimators
• Detection of spurious maxima through random draw tests and specification tests
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions

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