Testing Normality in Econometric Models

Nicholas Kiefer () and Mark Salmon

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: A specification test based on an Edgeworth expansion is proposed and some of its useful properties are noted. In particular the test has an important additivity property, in that a test for higher-order alternatives simply adds additional, asymptotically independent variates to tests lower order alternatives.

Pages: 6 pages
Date: 1982
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://warwick.ac.uk/fac/soc/economics/research/w ... 78-1988/twerp216.pdf

Related works:
Journal Article: Testing normality in econometric models (1983)
Working Paper: TESTING NORMALITY IN ECONOMETRIC MODELS (1982)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:216

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