Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.11.003
Abstract: The maximum entropy test, as designed for examining goodness-of-fit with a non-robust estimator such as the maximum likelihood estimator, can suffer from severe size distortions when the data are contaminated by outliers. The objective of… read more here.
Keywords: maximum entropy; estimator; entropy test; test ... See more keywords