Specification tests for non-Gaussian structural vector autoregressions

DOI10.1016/J.JECONOM.2024.105803MaRDI QIDQ6664656FDO

Authors Dante Amengual, Gabriele Fiorentini, Enrique Sentana

Publication date 16 January 2025

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

copulasconsistent testsindependence testsfinite normal mixturespseudo maximum likelihood estimatorsvolatility indices

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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