Testing normality: a GMM approach
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Cites work
- scientific article; zbMATH DE number 3988509 (Why is no real title available?)
- scientific article; zbMATH DE number 3742409 (Why is no real title available?)
- scientific article; zbMATH DE number 3483358 (Why is no real title available?)
- scientific article; zbMATH DE number 3438144 (Why is no real title available?)
- scientific article; zbMATH DE number 1898277 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- A New Form of the Information Matrix Test
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A goodness-of-fit test of simple hypotheses based on the empirical characteristic function
- A test for normality based on the empirical characteristic function
- A test of separate families of distributions based on the empirical moment generating function
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Bootstrap specification tests for diffusion processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Convergence of integrated processes of arbitrary Hermite rank
- Diagnostic testing and evaluation of maximum likelihood models
- Econometric specification of stochastic discount factor models
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Explicit Estimators of Parametric Functions in Nonlinear Regression
- Generalized autoregressive conditional heteroscedasticity
- Generalized method of moments specification testing
- Large Sample Properties of Generalized Method of Moments Estimators
- Maximum Likelihood Estimation of Misspecified Models
- Measures of multivariate skewness and kurtosis with applications
- Model Specification Tests Based on Artificial Linear Regressions
- Modeling and Forecasting Realized Volatility
- Multivariate Stochastic Variance Models
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonlinear principal components and long-run implications of multivariate diffusions
- 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
- Simulation‐based finite sample normality tests in linear regressions
- Slowly Decaying Correlations, Testing Normality, Nuisance Parameters
- Some Large-Sample Tests for Nonnormality in the Linear Regression Model
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic processes and orthogonal polynomials
- Testing normality in econometric models
- Testing normality: a GMM approach
- The Distribution of Realized Exchange Rate Volatility
- The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model
- The relative efficiency of method of moments estimators
- Transforming the Dependent Variable in Regression Models
Cited in
(36)- Information-Theoretic Distribution Test with Application to Normality
- Hermite expansion and estimation of monotonic transformations of Gaussian data
- Bootstrap specification tests for diffusion processes
- Testing normality: a GMM approach
- The econometrics of mean‐variance efficiency tests: a survey
- Statistical Inference for Student Diffusion Process
- 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
- An analysis of polynomial chaos approximations for modeling single-fluid-phase flow in porous medium systems
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
- 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
- High-frequency returns, jumps and the mixture of normals hypothesis
- Generalized spectral testing for multivariate continuous-time models
- Testing normality in any dimension by Fourier methods in a multivariate Stein equation
- Testing for discontinuity or type of distribution
- A new class of independence tests for interval forecasts evaluation
- \(M\) tests with a new normalization matrix
- Statistical inference for reciprocal gamma diffusion process
- On sample skewness and kurtosis
- 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
- New fat-tail normality test based on conditional second moments with applications to finance
- A simple numerical method of checking normality in statistical models
- 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
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