Normality Tests for Latent Variables
Tincho Almuzara (),
Dante Amengual and
Enrique Sentana ()
Additional contact information
Tincho Almuzara: CEMFI, Centro de Estudios Monetarios y Financieros, https://www.cemfi.es
Working Papers from CEMFI
We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret score tests of normality in the innovations to the latent variables in state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student ts. We decompose our tests into third and fourth moment components, and obtain one-sided likelihood ratio analogues, whose asymptotic distribution we provide. When we apply them to a cointegrated dynamic factor model which combines the expenditure and income versions of US aggregate real output to improve its measurement, we reject normality if the sample period extends beyond the Great Moderation.
Keywords: Gross domestic product; gross domestic income; kurtosis; Kuhn-Tucker test; skewness; supremum test; Wiener-Kolmogorov-Kalman smoother. (search for similar items in EconPapers)
JEL-codes: C32 C52 E01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Journal Article: Normality tests for latent variables (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2017_1708
Access Statistics for this paper
More papers in Working Papers from CEMFI Contact information at EDIRC.
Bibliographic data for series maintained by Araceli Requerey ().