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)

Related Items (9)

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks ⋮ The uncertainty of conditional returns, volatilities and correlations in DCC models ⋮ On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models ⋮ Normality test in random coefficient autoregressive models ⋮ Normality test for multivariate conditional heteroskedastic dynamic regression models ⋮ A note on Jarque-Bera normality test for ARMA-GARCH innovations ⋮ Modelling asymmetric volatility dynamics by multivariate BL-GARCH models ⋮ Behaviour of skewness, kurtosis and normality tests in long memory data ⋮ Testing normality: a GMM approach

Cites Work

• Unnamed Item
• 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

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