jbnorm Econometric tests and diagnostics jbnorm_var1

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jbnorm0

Jarque and Bera normality test on the residuals of a regression

CALLING SEQUENCE

[jb,pn,s,k]=jbnorm0(res,np)

PARAMETERS

Input

• res = a result tlist

• np= unused argument put for compatibility with other testing functions

Output

• jb = the value of the test

• pn = its p-value

• s = the skewness of the residuals

• k = the kurtosis of the residuals

DESCRIPTION

Computes Jarque and Bera normality test (see Jarque, C. M., and Bera, A. K. (1980). ' Efficient tests for normality, homoskedasticity and serial independence of regression residuals', Economics Letters, 6, 255-259). Results are stored as numbers and are not displayed on screen.

EXAMPLE

load(GROCERDIR+'data/bdhenderic.dat');
bounds('1964q3','1989q2');
rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const');
//performs ols for Hendry and Ericsson (1991) equation n° 6 
[jb,pn]=jbnorm0(rols)
 
// Example taken from jbnorm. Useful mainly for programming purpose (since jbnorm does much more).

AUTHOR

Eric Dubois 2002-2007
jbnorm Econometric tests and diagnostics jbnorm_var1