TESTING NORMALITY IN ECONOMETRIC MODELS

A specification test based on an Edgeworth expansior 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 X2 variates to tests against lower order alternatives.


Issue Date:
Jul 07 1982
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/269159
Language:
English
Total Pages:
8




 Record created 2018-03-02, last modified 2018-03-04

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