English, Article, Journal or magazine article edition: On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models Enrique Sentana; Gabriele Fiorentini

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Bookmark: http://trove.nla.gov.au/version/145146
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS
Author
  • Enrique Sentana
  • Gabriele Fiorentini
Physical Description
  • preprint
Notes
  • RePEc:rim:rimwps:38-07
  • We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under normality. We also provide conditions for partial adaptivity of semiparametric procedures, and relate them to the consistency of distributionally misspecified maximum likelihood estimators. We propose Hausman tests that compare Gaussian pseudo maximum likelihood estimators with more efficient but less robust competitors. We also study the efficiency of sequential estimators of the shape parameters. Finally, we provide finite sample results through Monte Carlo simulations.
  • Adaptivity, ARCH, elliptical distributions, financial returns, Hausman tests, semiparametric estimators, sequential estimators.
  • RePEc:cmf:wpaper:wp2007_0713
Language
  • English
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