Testing Normality in Econometric Models
A specification test based on an Edgeworth expansion is proposed and some of its useful properties are noted. In particular the test has an important additivity property, in that a test for higher-order alternatives simply adds additional, asymptotically independent variates to tests lower order alternatives.
Year of publication: |
1982
|
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Authors: | Kiefer, Nicholas M ; Salmon, Mark |
Institutions: | Department of Economics, University of Warwick |
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