Testing Normality in Econometric Models

Preprint

preprint

Published in RePEc

Abstract

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.

Keywords

SPECIFICATION TEST
ECONOMETRIC MODELS
ORDER ALTERNATIVES
TESTING NORMALITY
ADDS ADDITIONAL
TESTS LOWER
SIMPLY ADDS
PROPERTY
MODELS

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