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On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models

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  • Fiorentini, Gabriele
  • Sentana, Enrique
  • Calzolari, Giorgio

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File URL: http://www.sciencedirect.com/science/article/B6V84-4BRPNCT-3/2/d4595bb399f9d896143a67f9c7a7c2f7
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 83 (2004)
Issue (Month): 3 (June)
Pages: 307-312

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Handle: RePEc:eee:ecolet:v:83:y:2004:i:3:p:307-312

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References

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  1. 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.
  2. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques.
  3. Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
  4. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
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Cited by:
  1. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Banco de Espa�a Working Papers 0929, Banco de Espa�a.
  2. Lee, Sangyeol & Ng, Chi Tim, 2011. "Normality test for multivariate conditional heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 111(1), pages 75-77, April.
  3. Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
  4. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
  5. Mencía, Javier & Sentana, Enrique, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.
  6. Josep Pijoan-Mas, 2004. "Precautionary Savings or Working Longer Hours?," 2004 Meeting Papers 350, Society for Economic Dynamics.
  7. Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005. "Regulation And Opportunism: How Much Activism Do We Need?," Working Papers wp2005_0508, CEMFI.
  8. Abel Elizalde & Rafael Repullo, 2004. "Economic And Regulatory Capital. What Is The Difference?," Working Papers wp2004_0422, CEMFI.
  9. Mohamed Boutahar, 2010. "Behaviour of skewness, kurtosis and normality tests in long memory data," Statistical Methods and Applications, Springer, vol. 19(2), pages 193-215, June.
  10. Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse.

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