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Omnibus diagnostic procedures for vector multiplicative errors models

Author

Listed:
  • Simos G. Meintanis

    (National and Kapodistrian University of Athens
    North-West University)

  • Joseph Ngatchou-Wandji

    (Université de Rennes (EHESP) & Institut Élie Cartan de Lorraine)

  • Šárka Hudecová

    (Charles University)

Abstract

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.

Suggested Citation

  • Simos G. Meintanis & Joseph Ngatchou-Wandji & Šárka Hudecová, 2025. "Omnibus diagnostic procedures for vector multiplicative errors models," Statistical Papers, Springer, vol. 66(2), pages 1-44, February.
    • Handle: RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01653-y
    DOI: 10.1007/s00362-024-01653-y
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