Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
Existing results for the asymptotic validity of the Jarque-Bera test in vector autoregressive (VAR) models assume stationarity. In applied work, however, researchers often work with possibly integrated and cointegrated process. We prove the asymptotic validity of the Jarque-Bera test for vector erro...
| Veröffentlicht in: | Journal of Business & Economic Statistics. - American Statistical Association, 1983. - 18(2000), 1, Seite 40-50 |
|---|---|
| 1. Verfasser: | |
| Weitere Verfasser: | |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2000
|
| Zugriff auf das übergeordnete Werk: | Journal of Business & Economic Statistics |
| Schlagworte: | Asymptotic theory Bootstrap Forecasting Unit root Mathematics Economics Information science |