Testing normality in econometric models

DOI10.1016/0165-1765(83)90172-6MaRDI QIDQ374745zbMATH OpenOpenAlexFDO

Authors Nicholas M. Kiefer, Mark Salmon

Publication date 24 October 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/269159/files/twerp216.pdf

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cited in

(15)

• Testing the Error Components Model with Non-Normal Disturbances
• Testing normality: a GMM approach
• Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
• A robust closed-form estimator for the GARCH(1,1) model
• Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• Using simulation methods for bayesian econometric models: inference, development,and communication
• Testing the Normality Assumption in the Tobit Model
• A new characterization of the normal distribution and test for normality
• On generalised asymmetric stochastic volatility models
• Test for normality in the econometric disequilibrium markets model
• Testing for normality in a probit model with double selection.
• Wavelet-based detection of outliers in financial time series
• Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality
• Robust vs. OLS estimation of the market model: implications for event studies

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