Publication: A simple test for normality for time series
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2004
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Cambridge University Press
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Abstract
This paper considers testing for normality for correlated data. The proposed test
procedure employs the skewness-kurtosis test statistic, but studentized by standard
error estimators that are consistent under serial dependence of the observations. The standard error estimators are sample versions of the asymptotic quantities
that do not incorporate any downweighting, and, hence, no smoothing parameter
is needed. Therefore, the main feature of our proposed test is its simplicity, because
it does not require the selection of any user-chosen parameter such as a smoothing
number or the order of an approximating model.
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Econometric Theory, 2004, vol.20, nº4, p. 671-689