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Approximate normality tests - PowerPoint PPT Presentation

The max log likellihood function is simply a function of the error covariance matrix

The max log likellihood function is simply a function of the error covariance matrix + constant terms!. The max of the log likelihood function:. Proof:. The distribution of the ML estimates:. The covariance matrix. The unrestricted VAR(2). ECM representations. Ecm with m=1.

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The unrestricted VAR(2)

The unrestricted VAR(2). ECM representations. Ecm with m=1. Misspecification tests. Information criteria. Choice of lag length. Trace correlation. = 0.40. Tests of residual autocorrelation. Tests of residual heteroscedasticity. Normality. Skewness and excess kurtosis

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Approximate normality tests - PowerPoint PPT Presentation

The max log likellihood function is simply a function of the error covariance matrix

The unrestricted VAR(2)