A simple test for normality for time series

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dc.contributor.author Lobato, Ignacio N.
dc.contributor.author Velasco Gómez, Carlos
dc.date.accessioned 2009-04-15T10:19:20Z
dc.date.available 2009-04-15T10:19:20Z
dc.date.issued 2004
dc.identifier.bibliographicCitation Econometric Theory, 2004, vol.20, nº4, p. 671-689
dc.identifier.issn 1469-4360
dc.identifier.uri http://hdl.handle.net/10016/3971
dc.description.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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Cambridge University Press
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title A simple test for normality for time series
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1017/S0266466604204030
dc.subject.eciencia Economía
dc.identifier.doi 10.1017/S0266466604204030
dc.rights.accessRights openAccess
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