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Testing normality: a GMM approach (Q261889)

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scientific article; zbMATH DE number 6560399

Language	Label	Description	Also known as
English	Testing normality: a GMM approach	scientific article; zbMATH DE number 6560399

Statements

scholarly article

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Testing normality: a GMM approach (English)

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Christian Bontemps

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Journal of Econometrics

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publication date

24 March 2016

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full work available at URL

https://cirano.qc.ca/files/publications/2002s-63.pdf

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zbMATH Keywords

Stein equation

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Hermite polynomials

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parameter uncertainty

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HAC

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describes a project that uses

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MaRDI profile type

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The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model

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Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study

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The Distribution of Realized Exchange Rate Volatility

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Modeling and Forecasting Realized Volatility

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An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)

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Slowly Decaying Correlations, Testing Normality, Nuisance Parameters

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Generalized autoregressive conditional heteroscedasticity

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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Testing normality: a GMM approach

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Nonlinear principal components and long-run implications of multivariate diffusions

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Bootstrap specification tests for diffusion processes

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Model Specification Tests Based on Artificial Linear Regressions

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A New Form of the Information Matrix Test

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Simulation‐based finite sample normality tests in linear regressions

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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A test for normality based on the empirical characteristic function

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A test of separate families of distributions based on the empirical moment generating function

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On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models

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Explicit Estimators of Parametric Functions in Nonlinear Regression

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The relative efficiency of method of moments estimators

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Econometric specification of stochastic discount factor models

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Large Sample Properties of Generalized Method of Moments Estimators

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Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

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Multivariate Stochastic Variance Models

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Testing normality in econometric models

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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A goodness-of-fit test of simple hypotheses based on the empirical characteristic function

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Transforming the Dependent Variable in Regression Models

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Measures of multivariate skewness and kurtosis with applications

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Generalized method of moments specification testing

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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Stochastic processes and orthogonal polynomials

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Convergence of integrated processes of arbitrary Hermite rank

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Diagnostic testing and evaluation of maximum likelihood models

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Maximum Likelihood Estimation of Misspecified Models

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Some Large-Sample Tests for Nonnormality in the Linear Regression Model

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JECONOM.2004.02.014

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Sitelinks

Mathematics(1 entry)

mardi Publication:261889

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