TSROBDIAG: Stata module to compute Normality and parameter-stability tests for serially correlated time series

Yusuf Yusuf

Statistical Software Components from Boston College Department of Economics

Abstract: tsnormal performs normality tests for a series or for regression residuals that remain valid under serial correlation: Bai and Ng (2005) skewness, kurtosis and joint tests with HAC variances, the Lobato and Velasco (2004) test, and Anderson-Darling and Jarque-Bera tests with an AR-sieve bootstrap under the Gaussian null; the classical Jarque-Bera test is shown for comparison. hansenstab performs Nyblom (1989) and Hansen (1992) tests of parameter stability in a linear regression, for each coefficient, the coefficients jointly and all parameters including the error variance, with iid or HAC (Bartlett, quadratic-spectral) variances, exact asymptotic p-values for any number of parameters, and wild or dependent wild bootstrap p-values.

Language: Stata
Requires: Stata version 14
Keywords: normality test; parameter stability test; serial correlation (search for similar items in EconPapers)
Date: 2026-11-10
Note: This module should be installed from within Stata by typing "ssc install tsrobdiag". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/t/tsrobdiag.sthlp
http://fmwww.bc.edu/repec/bocode/t/tsnormal.ado
http://fmwww.bc.edu/repec/bocode/t/tsnormal.sthlp
http://fmwww.bc.edu/repec/bocode/h/hansenstab.ado
http://fmwww.bc.edu/repec/bocode/h/hansenstab.sthlp
http://fmwww.bc.edu/repec/bocode/t/tsrobdiag_example.do
http://fmwww.bc.edu/repec/bocode/_/_hansenstab_display.ado
http://fmwww.bc.edu/repec/bocode/_/_hansenstab_load.ado
http://fmwww.bc.edu/repec/bocode/_/_hansenstab_mata.ado
http://fmwww.bc.edu/repec/bocode/_/_tsnormal_display.ado
http://fmwww.bc.edu/repec/bocode/_/_tsnormal_load.ado
http://fmwww.bc.edu/repec/bocode/_/_tsnormal_mata.ado

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