文章基本信息
- 标题：On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
- 本地全文：下载
- 作者：Gabriele Fiorentini ; Enrique Sentana ; Giorgio Calzolari 等
- 期刊名称：CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
- 出版年度：2003
- 卷号：2003
- 出版社：Centro de Estudios Monetarios y Financieros, Madrid
- 摘要：
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.
