讲座：Normality Tests for Latent Variables
题 目：Normality Tests for Latent Variables
演讲人：Dante Amengual, Associate Professor of Economics, CEMFI, Madrid
主持人：张国雄 博士 上海交通大学安泰经济与管理学院经济系
时 间：2017年 6月21日 (周三 ) 14:30-16:00
地 点：上海交通大学 徐汇校区新上院S207室
We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret score tests of normality in the innovations to the latent variables in state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student-ts. We decompose our tests into third and fourth moment components, and obtain one-sided likelihood ratio analogues, whose asymptotic distribution we provide. When we apply them to a cointegrated dynamic factor model which combines the expenditure and income versions of US aggregate real output to improve its measurement, we reject normality if the sample period extends beyond the Great Moderation.
Dr. Amengual is currently associate professor (with Tenure) at CEMFI, Madrid. He obtained his Ph.D. from Princeton University in 2009. His fields of interest include Econometrics, Asset pricing, and Financial Econometrics. His research papers has appeared on journals such as Journal of Econometrics, Journal of Business and Economic Statistics, and Journal of Financial Econometrics.