On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models

DOI10.1016/j.econlet.2003.10.023zbMath1254.91584OpenAlexW3122863173MaRDI QIDQ1927501

Giorgio Calzolari, Gabriele Fiorentini, Enrique Sentana

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.10.023

zbMATH Keywords

ARCHkurtosisskewnessmoment tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Analysis of variance and covariance (ANOVA) (62J10)

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Cites Work

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• Testing normality in econometric models
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Quadratic ARCH Models