Search Results - subject:"Normal mixtures"

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 253-300

efficiency losses for Gaussian PMLEs in simultaneous equations models. We revisit his two-equation example using finite normal … mixtures PMLEs instead, which are also consistent for mean and variance parameters regardless of the true distribution of the …

Persistent link: https://www.econbiz.de/10014462242

PML versus minimum x2: The comeback

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs - Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 253-300

Persistent link: https://www.econbiz.de/10014496069

Moment tests of independent components

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs - Journal of the Spanish Economic Association 13 (2022) 1, pp. 429-474

We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments...

Persistent link: https://www.econbiz.de/10014496112

Moment tests of independent components

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 429-474

Persistent link: https://www.econbiz.de/10013326911

Specification tests for non-Gaussian structural vector autoregressions

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2022

Persistent link: https://www.econbiz.de/10013540674

Specification tests for non-Gaussian structural vector autoregressions

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 244 (2024) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10015552444

Moment tests of independent components

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2021

Persistent link: https://www.econbiz.de/10012660817

Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions

Fiorentini, Gabriele; Sentana, Enrique - 2020

Persistent link: https://www.econbiz.de/10012310522

Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions

Bodnar, Taras; Mazur, Stepan; Parolya, Nestor - 2017

In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal distributions. The central limit theorem is derived for...

Persistent link: https://www.econbiz.de/10012654423

Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions

Fiorentini, Gabriele; Sentana, Enrique - 2020

Persistent link: https://www.econbiz.de/10012314458