Testing normality: a GMM approach
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Publication:261889
DOI10.1016/J.JECONOM.2004.02.014zbMATH Open1336.62056OpenAlexW2125714858MaRDI QIDQ261889FDOQ261889
Authors: Christian Bontemps, Nour Meddahi 
Publication date: 24 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cirano.qc.ca/files/publications/2002s-63.pdf
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Cited In (36)
- Hermite expansion and estimation of monotonic transformations of Gaussian data
- The econometrics of mean‐variance efficiency tests: a survey
- Statistical Inference for Student Diffusion Process
- Bootstrap specification tests for diffusion processes
- Testing normality: a GMM approach
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Testing distributional assumptions using a continuum of moments
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Tests for skewness and kurtosis in the one-way error component model
- Using OLS to test for normality
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
- An analysis of polynomial chaos approximations for modeling single-fluid-phase flow in porous medium systems
- Hypothesis testing for Fisher-Snedecor diffusion
- Normality tests for latent variables
- Jarque–Bera Test and its Competitors for Testing Normality – A Power Comparison
- Normality tests for dependent data: large-sample and bootstrap approaches
- Testing normality in any dimension by Fourier methods in a multivariate Stein equation
- High-frequency returns, jumps and the mixture of normals hypothesis
- Generalized spectral testing for multivariate continuous-time models
- Testing for discontinuity or type of distribution
- A new class of independence tests for interval forecasts evaluation
- \(M\) tests with a new normalization matrix
- On sample skewness and kurtosis
- Statistical inference for reciprocal gamma diffusion process
- Moment condition tests for heavy tailed time series
- A new characterization of the normal distribution and test for normality
- Exploring the statistical applicability of the Poincaré inequality: a test of normality
- A simple numerical method of checking normality in statistical models
- New fat-tail normality test based on conditional second moments with applications to finance
- An empirical power comparison of univariate goodness-of-fit tests for normality
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Predictive density and conditional confidence interval accuracy tests
- An intuitive skewness-based symmetry test applicable to stationary time series data
- Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality
- Information-Theoretic Distribution Test with Application to Normality
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