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