Open AccessDistributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations
Author(s) -
Javier Juste Mencía,
Enrique Sentana
Publication year - 2010
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1370916
Subject(s) - kurtosis , lagrange multiplier , score test , mathematics , likelihood ratio test , multivariate statistics , monte carlo method , multiplier (economics) , null hypothesis , skewness
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