Omnibus diagnostic procedures for vector multiplicative errors models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F25%3A10506301" target="_blank" >RIV/00216208:11320/25:10506301 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=6Ig40OuxCu" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=6Ig40OuxCu</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00362-024-01653-y" target="_blank" >10.1007/s00362-024-01653-y</a>

Result language
angličtina
Original language name
Omnibus diagnostic procedures for vector multiplicative errors models
Original language description
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.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GF22-01639K" target="_blank" >GF22-01639K: Gradual Functional Changes - GraFuCha</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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