On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models
Gabriele Fiorentini (),
Enrique Sentana () and
Working Papers from CEMFI
We show that the Jarque-Bera test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all.
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Journal Article: On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2003_0306
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