A Generalized Jarque-Bera Test of Conditional Normality

Yi-Ting Chen (ytchen@gate.sinica.edu.tw) and Chung-Ming Kuan (ckuanmetrics@gmail.com)
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Yi-Ting Chen: Institute for Social Sciences and Philosophy, Academia Sinica, Taipei, Taiwan

No 03-A003, IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan

Abstract: We consider testing normality in a general class of models that admits nonlinear conditional mean and conditional variance functions. We derive the asymptotic distribution of the skewness and kurtosis coefficients of the model’s standardized residuals and propose an asymptotic x2 test of normality. This test simplifies to the Jarque-Bera test only when: (i) the conditional mean function contains an intercept term but does not depend on past errors, and (ii) the errors are conditionally homoskedastic. Beyond this context, it is shown that the Jarque-Bera test has size distortion but the proposed test does not.

Keywords: conditional heteroskedsaticity; conditional normality; Jarque-Bera test (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2003-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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