Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models
Jean-Marie Dufour (jean-marie.dufour@mcgill.ca),
Lynda Khalaf and
Marie-Claude Beaulieu
Cahiers de recherche from Universite de Montreal, Departement de sciences economiques
Abstract:
We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.
Keywords: multivariate linear regression; goodness-of-fit; normality test; multivariate normality; multinormality; Student t; normal mixture; stable distribution; scification test; diagnostics; exact test; Monte Carlo test; bootstra; nuisance rameter; asset icing model; CAPM (search for similar items in EconPapers)
JEL-codes: C12 C15 C3 C33 G1 G12 G14 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2003
New Economics Papers: this item is included in nep-cfn, nep-ecm, nep-ets and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (30)
Downloads: (external link)
http://hdl.handle.net/1866/498 (application/pdf)
Related works:
Journal Article: Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models* (2003) ![Downloads](/downloads_econpapers.gif)
Working Paper: Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models (2003) ![Downloads](/downloads_econpapers.gif)
Working Paper: Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models (2003) ![Downloads](/downloads_econpapers.gif)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:2003-09
Access Statistics for this paper
More papers in Cahiers de recherche from Universite de Montreal, Departement de sciences economiques Contact information at EDIRC.
Bibliographic data for series maintained by Sharon BREWER (sharon.brewer@umontreal.ca).