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A test of normality using nonparametrlic residuals

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  • Yoon-Jae Whang

Abstract

In this paper, we develop a test of the normality assumption of the errors using the residuals from a nonparametric kernel regression. Contrary to the existing tests based on the residuals from a parametric regression, our test is thus robust to misspecification of the regression function. The test statistic proposed here is a Bera-Jarque type test of skewness and kurtosis. We show that the test statistic has the usual x2(2) limit distribution under the null hypothesis. In contrast to the results of Rilstone (1992), we provide a set of primitive assumptions that allow weakly dependent observations and data dependent bandwidth parameters. We also establish consistency property of the test. Monte Carlo experiments show that our test has reasonably good size and power performance in small samples and perfornu better than some of the alternative tests in various situations.

Suggested Citation

  • Yoon-Jae Whang, 1998. "A test of normality using nonparametrlic residuals," Econometric Reviews, Taylor & Francis Journals, vol. 17(3), pages 301-327.
    • Handle: RePEc:taf:emetrv:v:17:y:1998:i:3:p:301-327
    DOI: 10.1080/07474939808800418
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    Cited by:

    1. Lumsdaine, Robin L. & Ng, Serena, 1999. "Testing for ARCH in the presence of a possibly misspecified conditional mean," Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.

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