TY - GEN
T1 - Size distortion in the analysis of volatility and covolatility effects
AU - Gourieroux, Christian
AU - Jasiak, Joann
PY - 2013/1/1
Y1 - 2013/1/1
N2 - Let us assume that is a consistent, asymptotically normal estimator of a matrix A (where T is the sample size), this paper shows that test statistics used in empirical work to test 1) the noninvertibility of A, i.e. det A = 0, 2) the positivite semi-definiteness A > > 0, have a different asymptotic distribution in the case where A = 0 than in the case where A ≠ 0. Moreover, the paper shows that an estimator of A constrained by symmetry or reduced rank has a different asymptotic distribution when A = 0 than when A ≠ 0. The implication is that inference procedures that use critical values equal to appropriate quantiles from the distribution when A ≠ 0 may be size distorted. The paper points out how the above statistical problems arise in standard models in Finance in the analysis of risk effects.A Monte Carlo study explores how the asymptotic results are reflected in finite sample.
AB - Let us assume that is a consistent, asymptotically normal estimator of a matrix A (where T is the sample size), this paper shows that test statistics used in empirical work to test 1) the noninvertibility of A, i.e. det A = 0, 2) the positivite semi-definiteness A > > 0, have a different asymptotic distribution in the case where A = 0 than in the case where A ≠ 0. Moreover, the paper shows that an estimator of A constrained by symmetry or reduced rank has a different asymptotic distribution when A = 0 than when A ≠ 0. The implication is that inference procedures that use critical values equal to appropriate quantiles from the distribution when A ≠ 0 may be size distorted. The paper points out how the above statistical problems arise in standard models in Finance in the analysis of risk effects.A Monte Carlo study explores how the asymptotic results are reflected in finite sample.
KW - BEKK Model
KW - Boundary
KW - Identifiability
KW - Invertibility Test
KW - Multivariate Volatility
KW - Risk Premium
KW - Volatility Transmission
UR - https://www.scopus.com/pages/publications/84872816344
U2 - 10.1007/978-3-642-35443-4_7
DO - 10.1007/978-3-642-35443-4_7
M3 - Conference contribution
AN - SCOPUS:84872816344
SN - 9783642354427
T3 - Advances in Intelligent Systems and Computing
SP - 91
EP - 118
BT - Uncertainty Analysis in Econometrics with Applications
PB - Springer Verlag
T2 - 6th International Conference of the Thailand Econometric Society, TES 2013
Y2 - 10 January 2013 through 11 January 2013
ER -