MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes a multivariate version of the Jarque-Bera test for normality. Note that there are more sophisticated versions of this (for instance, Doornik and Hansen, "An Omnibus Test for Univariate and Multivariate Normality"). This just transforms the input residual series to uncorrelated components (using an eigenbased factorization if not provided by the user) and sums up the univariate JB statistics from those.

Language: RATS
Requires: RATS 5.10
Keywords: Multivariate; normality; test (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/mvjb.src (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00143

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().