On the Properties of the Likelihood Function of Spanos' Conditional t Heteroskedastic Model

This article investigates the properties of the likelihood function of Spanos’ conditional t heteroskedastic model (Spanos, 1994 Spanos , A. ( 1994 ). On modeling heteroskedasticity: The student's t and elliptical linear regression models . Econometric Theor. 10 : 286 – 315 .[Crossref], [Web of Science ®] , [Google Scholar]) On modeling heteroskedasticity: the student's t and elliptical linear regression models. It is shown that estimability of the degrees of freedom of t distribution and the block-diagonality of the information matrix of the joint likelihood function with respect to conditional mean parameters and remaining parameters hold for the model. The joint maximum likelihood estimator and its inference based on the t-statistic and χ²-statistic are examined in finite samples by simulation when the degrees of freedom is known and unknown.