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.

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Year of publication:	1982
Authors:	Kiefer, Nicholas M ; Salmon, Mark
Institutions:	Department of Economics, University of Warwick

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Series:	The Warwick Economics Research Paper Series (TWERPS).
Type of publication:	Book / Working Paper
Notes:	6 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005368728