The distribution of a Lagrange multiplier test of normality

DOI10.1016/0165-1765(95)00784-9zbMath0875.90211OpenAlexW2061278478MaRDI QIDQ1350541

Partha Deb, Martin Sefton

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00784-9

zbMATH Keywords

Monte CarloNormalitySpecification testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (5)

On Sample Skewness and Kurtosis ⋮ Tests of normality: new test and comparative study ⋮ A tail estimator for the index of the stable paretian distribution^∗ ⋮ Using OLS to test for normality ⋮ A simple estimator for the characteristic exponent of the stable Paretian distribution

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• Misspecification tests and their uses in econometrics
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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Diagnostic tests as residual analysis
• Some Large-Sample Tests for Nonnormality in the Linear Regression Model
• Tests for departure from normality: Comparison of powers
• A Test for Normality of Observations and Regression Residuals
• An analysis of variance test for normality (complete samples)
• An omnibus test of normality for moderate and large size samples

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