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MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Computes a multivariate version of the Jarque-Bera test for normality. Note that there are more sophisticated versions of this (for instance, Doornik and Hansen, "An Omnibus Test for Univariate and Multivariate Normality"). This just transforms the input residual series to uncorrelated components (using an eigenbased factorization if not provided by the user) and sums up the univariate JB statistics from those.

Suggested Citation

  • Tom Doan, "undated". "MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test," Statistical Software Components RTS00143, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00143
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/mvjb.src
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    More about this item

    Keywords

    Multivariate normality test; RATS;

    Statistics

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