misspecification tests. information criteria
Post on 22-Dec-2015
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Misspecification tests
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Information criteria
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Choice of lag length
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Trace correlation
= 0.40
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Tests of residual autocorrelation
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Tests of residual heteroscedasticity
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Normality
• Skewness and excess kurtosis
• Univariate normality tests (Jarque-Bera)
• Mulivariate normallity test (Doornik-Hansen)
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Univariate Normality tests
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Asymptotic normality tests
Univariate Jarque-Bera type of test:
Multivariate Jarque-Bera type of test:
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Approximate normality tests
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Multivariate Bowman-Shenton normality test
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What about the other tests?
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