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Tests for multivariate normality with Pearson alternatives

Author

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  • BERA, A.
  • JOHN, S.

Abstract

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Suggested Citation

  • Bera, A. & John, S., 1983. "Tests for multivariate normality with Pearson alternatives," LIDAM Reprints CORE 534, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:534
    DOI: 10.1080/03610928308828444
    Note: In : Comm. Statist. - Theor. Meth., 12(1), 103-117, 1983
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    Cited by:

    1. Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Henze, Norbert, 1997. "Limit laws for multivariate skewness in the sense of Móri, Rohatgi and Székely," Statistics & Probability Letters, Elsevier, vol. 33(3), pages 299-307, May.
    3. Wanfang Chen & Marc G. Genton, 2023. "Are You All Normal? It Depends!," International Statistical Review, International Statistical Institute, vol. 91(1), pages 114-139, April.
    4. Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L., 2021. "Measuring financial interdependence in asset markets with an application to eurozone equities," Journal of Banking & Finance, Elsevier, vol. 122(C).
    5. Norbert Henze, 2002. "Invariant tests for multivariate normality: a critical review," Statistical Papers, Springer, vol. 43(4), pages 467-506, October.
    6. Mencia, Javier F. & Sentana, Enrique, 2004. "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics 24742, London School of Economics and Political Science, LSE Library.
    7. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
    8. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
    9. Gutjahr, Steffen & Henze, Norbert & Folkers, Martin, 1999. "Shortcomings of Generalized Affine Invariant Skewness Measures," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 1-23, October.
    10. Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Jarque, C.M. & McKenzie, C.R., 1995. "Testing for multivariate normality in simultaneous equations models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 323-328.
    12. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
    13. Annaliisa Kankainen & Sara Taskinen & Hannu Oja, 2007. "Tests of multinormality based on location vectors and scatter matrices," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 357-379, November.
    14. Urzúa, Carlos M., 1996. "Omnibus Tests for Multivariate Normality of Observations and Residuals," EGAP Working Papers 200304, Tecnológico de Monterrey, Campus Ciudad de México.
    15. Ilmonen, Pauliina & Nevalainen, Jaakko & Oja, Hannu, 2010. "Characteristics of multivariate distributions and the invariant coordinate system," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1844-1853, December.
    16. repec:cty:dpaper:08/01 is not listed on IDEAS
    17. Alfonso Gutierrez-Lopez, 2021. "A Robust Gaussian variogram estimator for cartography of hydrological extreme events," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 107(2), pages 1469-1488, June.
    18. Chiu, Sung Nok & Liu, Kwong Ip, 2009. "Generalized Cramér-von Mises goodness-of-fit tests for multivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(11), pages 3817-3834, September.
    19. Anil K. Bera & Philip Garcia & Jae-Sun Roh, 1997. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches," Finance 9712007, University Library of Munich, Germany.
    20. Fry, Renée & Martin, Vance L. & Tang, Chrismin, 2010. "A New Class of Tests of Contagion With Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 423-437.

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