Specification tests for non‐Gaussian maximum likelihood estimators

DOI10.3982/QE1406zbMath1477.62240OpenAlexW3125472966MaRDI QIDQ5164499

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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