Normality test for multivariate conditional heteroskedastic dynamic regression models
In this paper, we study the Jarque-Bera test for the normality of the innovations of multivariate GARCH models. It is shown that the test is distribution free and its limiting null distribution is a chi-square distribution.
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- Comte, F. & Lieberman, O., 2003. "Asymptotic theory for multivariate GARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 61-84, January.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Bai, Jushan & Chen, Zhihong, 2008. "Testing multivariate distributions in GARCH models," Journal of Econometrics, Elsevier, vol. 143(1), pages 19-36, March.
- Jushan Bai & Serena Ng, 2001.
"Tests for Skewness, Kurtosis, and Normality for Time Series Data,"
Boston College Working Papers in Economics
501, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2005. "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 49-60, January.
- Taewook Lee & Sangyeol Lee, 2009. "Normal Mixture Quasi-maximum Likelihood Estimator for GARCH Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 157-170.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:111:y:2011:i:1:p:75-77. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.