A simple test for normality for time series

Ignacio N. Lobato and Carlos Velasco ()

Open Access publications from Universidad Carlos III de Madrid from Universidad Carlos III de Madrid

Abstract: This paper considers testing for normality for correlated data. The proposed test procedure employs the skewness-kurtosis test statistic, but studentized by standard error estimators that are consistent under serial dependence of the observations. The standard error estimators are sample versions of the asymptotic quantities that do not incorporate any downweighting, and, hence, no smoothing parameter is needed. Therefore, the main feature of our proposed test is its simplicity, because it does not require the selection of any user-chosen parameter such as a smoothing number or the order of an approximating model.

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http://e-archivo.uc3m.es/bitstream/10016/3971/1/Lobato-Velasco_ET_2004_20_4.pdf (application/pdf)

Related works:
Journal Article: A SIMPLE TEST OF NORMALITY FOR TIME SERIES (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:ner:carlos:info:hdl:10016/3971

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