Monte Carlo methods are used to study the size and the power of three versions of the Jarque and Bera Lagrangian multiplier test for normality, JB(g<SUB align="right"><SMALL>1</SMALL></SUB>, g<SUB align="right"><SMALL>2</SMALL></SUB>), JB(b<SUB align="right"><SMALL>1</SMALL></SUB>, b<SUB align="right"><SMALL>2</SMALL></SUB>) and, finally, JB(k<SUB align="right"><SMALL>1</SMALL></SUB>, k<SUB align="right"><SMALL>2</SMALL></SUB>). The difference between these tests comes from the different definitions (estimates) of sample skewness...</small></sub></small></sub></small></sub></small></sub></small></sub></small></sub>

This paper investigates the effect of spillover (i.e., causality in variance) on the Johansen tests for cointegration by conducting a Monte Carlo experiment where 16 different data generating processes (DGP) are used and a number of factors that might affect the properties of the Johansen...

This paper examines the problem of order selection in connection to the forecasting performance for vector autoregressive (VAR) processes. For this purpose we present a generalisation of the modified divergence information criterion (MDIC) for VAR models and compare it with traditional...