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Specification tests for non-Gaussian structural vector autoregressions

Author

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  • Amengual, Dante
  • Fiorentini, Gabriele
  • Sentana, Enrique

Abstract

We propose specification tests for independent component analysis and structural vector autoregressions that assess the cross-sectional independence of non-Gaussian shocks by comparing their joint cumulative distribution with the product of their marginals at both discrete and continuous grids of argument values, the latter yielding a consistent test. We explicitly consider the sampling variability from computing the shocks using consistent estimators. We study the finite sample size of resampled versions of our tests in simulation exercises and show their non-negligible power against a variety of empirically plausible alternatives. Finally, we apply them to a dynamic model for three popular volatility indices.

Suggested Citation

  • Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2024. "Specification tests for non-Gaussian structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 244(2).
    • Handle: RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001490
    DOI: 10.1016/j.jeconom.2024.105803
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    More about this item

    Keywords

    Consistent tests; Copulas; Finite normal mixtures; Independence tests; Pseudo maximum likelihood estimators; Volatility indices;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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