Mencía, Javier; Sentana, Enrique - In: The Review of Economics and Statistics 94 (2012) 1, pp. 133-152
We derive Lagrange multiplier and likelihood ratio specification tests for the null hypotheses of multivariate normal and Student-t innovations using the generalized hyperbolic distribution as our alternative hypothesis. We decompose the corresponding Lagrange multiplier-type tests into skewness...