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<p>We suggest specification tests for the conditional mean function in vector multiplicative error models. The test statistics are easy to compute given a suitable estimator of the model parameters. Consistency of the test statistic is proved, the asymptotic distribution of the test under the null hypothesis is studied, while a bootstrap resampling is used in order to approximate critical points and actually carry out the test. Finite-sample results are presented as well as applications of the proposed procedures to real data from the financial markets.</p>

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Omnibus diagnostic procedures for vector multiplicative errors models

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2025年1月15日

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  • Simos G. Meintanis,
  • Joseph Ngatchou-Wandji,
  • Šárka Hudecová

摘要

We suggest specification tests for the conditional mean function in vector multiplicative error models. The test statistics are easy to compute given a suitable estimator of the model parameters. Consistency of the test statistic is proved, the asymptotic distribution of the test under the null hypothesis is studied, while a bootstrap resampling is used in order to approximate critical points and actually carry out the test. Finite-sample results are presented as well as applications of the proposed procedures to real data from the financial markets.