This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Omnibus Tests for Multivariate Normality of Observations and Residuals

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Urzúa, Carlos M.

Additional information is available for the following registered author(s):

Abstract

This paper provides omnibus tests for multivariate normality of both observations and residuals. They are derived by considering as the alternatives to the multivariate normal a class of maximum-entropy distributions studied elsewhere by the author. The tests, being Lagrange multiplier statistics, have optimum local asymptotic power among those alternatives. Furthermore, they coincide in the univariate case with the popular Jarque-Bera test for normality. They also include as special cases several multivariate tests available in the literature. Finally, the paper also suggests simple adjustments that can significantly improve the power of the tests in the case of small and medium size samples, even for the univariate case.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://alejandria.ccm.itesm.mx/egap/documentos/EGAP-2003-04.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Tecnológico de Monterrey, Campus Ciudad de México in its series EGAP Working Papers with number 200304.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Dec 1996
Date of revision:
Publication status: Published in Advances in Econometrics, 1997, vol. 12, pp. 341-358.
Handle: RePEc:ega:docume:200304

Contact details of provider:
Web page: http://www.ccm.itesm.mx/egap/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Amaranta Arroyo).

Related research
Keywords: test; multivariate normality; maximum entropy;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Zellner, Arnold & Highfield, Richard A., 1988. "Calculation of maximum entropy distributions and approximation of marginalposterior distributions," Journal of Econometrics, Elsevier, vol. 37(2), pages 195-209, February. [Downloadable!] (restricted)
  2. Urzúa, Carlos M., 1988. "A Class of Maximum-Entropy Multivariate Distributions," EGAP Working Papers 200301, Tecnológico de Monterrey, Campus Ciudad de México. [Downloadable!]
  3. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259. [Downloadable!] (restricted)
  4. Urzua, Carlos M, 1990. "Lending to Sovereign Borrowers: Snapshots of the Eurocurrency Market Using a Thomian Camera," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 469-89, May. [Downloadable!] (restricted)
  5. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826 Elsevier. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? Authors registered on the RePEc Author Service receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-12-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.