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 |
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Format: | Online-Aufsatz |
Sprache: | English |
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2000
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Zugriff auf das übergeordnete Werk: | Journal of Business & Economic Statistics |
Schlagworte: | Asymptotic theory Bootstrap Forecasting Unit root Mathematics Economics Information science |