Testing normality in econometric models
AbstractA specification test based on an Edgeworth expansion is proposed and some of its useful properties are noted. In particular the test has an important additivity property, in that a test for higher-order alternatives simply adds additional, asymptotically independent variates to tests lower order alternatives.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 11 (1983)
Issue (Month): 1-2 ()
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Kiefer, Nicholas M & Salmon, Mark, 1982. "Testing Normality in Econometric Models," The Warwick Economics Research Paper Series (TWERPS) 216, University of Warwick, Department of Economics.
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