Tests for Skewness, Kurtosis, and Normality for Time Series Data
AbstractWe present the sampling distributions for the coefficient of skewness, kurtosis, and a joint test of normality for time series observations. In contrast to independent and identically distributed data, the limiting distributions of the statistics are shown to depend on the long run rather than the short-run variance of relevant sample moments. Monte Carlo simulations show that the test statistics for symmetry and normality have good finite sample size and power. However, size distortions render testing for kurtosis almost meaningless except for distributions with thin tails such as the normal distribution. Nevertheless, this general weakness of testing for kurtosis is of little consequence for testing normality. Combining skewness and kurtosis as in Bera and Jarque (1981) is still a useful test of normality provided the limiting variance accounts for the serial correlation in the data.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 23 (2005)
Issue (Month): (January)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Jushan Bai & Serena Ng, 2001. "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Boston College Working Papers in Economics 501, Boston College Department of Economics.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrews, Donald W K & Monahan, J Christopher, 1992.
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Econometric Society, vol. 60(4), pages 953-66, July.
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- Ricardo J. Caballero, 1991.
"A Fallacy of Composition,"
NBER Working Papers
3735, National Bureau of Economic Research, Inc.
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