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Testing normality: a GMM approach

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Author Info
Bontemps, Christian
Meddahi, Nour
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 124 (2005)
Issue (Month): 1 (January)
Pages: 149-186
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Handle: RePEc:eee:econom:v:124:y:2005:i:1:p:149-186

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  1. Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation," Working Papers wp2005_0509, CEMFI. [Downloadable!]
    Other versions:
  2. Stengos, T. & Wu, X., 2006. "Information-Theoretic Distribution Test With Application to Normality," Working Papers 2006-4, University of Guelph, Department of Economics. [Downloadable!]
    Other versions:
  3. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, School of Economics and Management, University of Aarhus. [Downloadable!]
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  4. BONTEMPS, Christian & MEDDAHI, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
  5. Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006. "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers 200614, Rutgers University, Department of Economics. [Downloadable!]
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