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

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Author Info
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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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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  3. Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI. [Downloadable!]
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  4. Enrique Sentana & Javier Mencía, 2008. "Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations," Working Papers wp2008_0804, CEMFI. [Downloadable!]
  5. Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005. "Regulation And Opportunism: How Much Activism Do We Need?," Working Papers wp2005_0508, CEMFI. [Downloadable!]
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  6. Josep Pijoan-Mas, 2003. "Precautionary Savings Or Working Longer Hours?," Working Papers wp2003_0311, CEMFI. [Downloadable!]
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  7. 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. [Downloadable!]
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