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Testing Normality in Econometric Models

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  • Kiefer, Nicholas M
  • Salmon, Mark

Abstract

A specification test based on an Edgeworth expansion is proposed and some of its useful properties are noted. In particular the test has an important additivity property, in that a test for higher-order alternatives simply adds additional, asymptotically independent variates to tests lower order alternatives.

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Bibliographic Info

Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 216.

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Length: 6 pages
Date of creation: 1982
Date of revision:
Handle: RePEc:wrk:warwec:216

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