On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models

We show that the Jarque-Bera test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all

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Year of publication:	2003
Authors:	Fiorentini, Gabriele ; Sentana, Enrique ; Calzolari, Giorgio
Publisher:	[S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Statistischer Test \| Statistical test \| Regressionsanalyse \| Regression analysis

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2003 erstellt
Other identifiers:	10.2139/ssrn.383980 [DOI]
Classification:	C52 - Model Evaluation and Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014088682