On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
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- Kiefer, Nicholas M. & Salmon, Mark, 1983.
"Testing normality in econometric models,"
Elsevier, vol. 11(1-2), pages 123-127.
- Kiefer, Nicholas M & Salmon, Mark, 1982. "Testing Normality in Econometric Models," The Warwick Economics Research Paper Series (TWERPS) 216, University of Warwick, Department of Economics.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, December.
- Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
- BONTEMPS, Christian & MEDDAHI, Nour, 2002.
"Testing Normality : A GMM Approach,"
Cahiers de recherche
2002-14, Universite de Montreal, Departement de sciences economiques.
- Enrique Sentana, 1995.
"Quadratic ARCH Models,"
Review of Economic Studies,
Oxford University Press, vol. 62(4), pages 639-661.
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