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|a 10.2307/1392135
|2 doi
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|a (DE-627)JST045338574
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|a (JST)1392135
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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|a Kilian, Lutz
|e verfasserin
|4 aut
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|a Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
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|c 2000
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
|b c
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|a Online-Ressource
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|a 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 error-correction (VEC) models and for unrestricted VAR models with possibly integrated or cointegrated variables. We also propose the use of bootstrap critical values in stationary VAR models and in VEC models. We show that the bootstrap version of the Jarque-Bera test is considerably more accurate in small samples than the asymptotic test, even for processes with roots close to unity.
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|a Copyright 2000 American Statistical Association
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|a Asymptotic theory
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|a Bootstrap
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|a Forecasting
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|a Unit root
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|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical models
|x Vector autoregression
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|a Mathematics
|x Applied mathematics
|x Statistics
|x Frequency distribution
|x Kurtosis
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|a Economics
|x Economic disciplines
|x Applied economics
|x Econometrics
|x Economic statistics
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|a Mathematics
|x Mathematical values
|x Critical values
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|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Statistical forecasts
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|a Economics
|x Economic disciplines
|x Applied economics
|x Economic modeling
|x Economic models
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|a Mathematics
|x Applied mathematics
|x Analytics
|x Predictive analytics
|x Analytical forecasting
|x Forecasting models
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|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Descriptive statistics
|x Statistical distributions
|x Distribution functions
|x Probability distributions
|x Skewed distribution
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|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical models
|x Autoregressive models
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|a Information science
|x Information analysis
|x Data analysis
|x Time series analysis
|x Time series forecasting
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|a research-article
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|a Demiroglu, Ufuk
|e verfasserin
|4 aut
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|i Enthalten in
|t Journal of Business & Economic Statistics
|d American Statistical Association, 1983
|g 18(2000), 1, Seite 40-50
|w (DE-627)327084073
|w (DE-600)2043744-4
|x 07350015
|7 nnns
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|g volume:18
|g year:2000
|g number:1
|g pages:40-50
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|u https://www.jstor.org/stable/1392135
|3 Volltext
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|u https://doi.org/10.2307/1392135
|3 Volltext
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|a AR
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|d 18
|j 2000
|e 1
|h 40-50
|