Name
jbnorm_var1 — Jarque and Bera normality test on the residuals of a regression
CALLING SEQUENCE
[jb,pn,s,k]=jbnorm_var1(y)
PARAMETERS
- Input
y = a vector of real values
- Output
jb = the value of the test
pn = its p-value
s = y's skewness
k = y's kurtosis
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');
y=series(delts(lm1))
[jb,pn,s,k]=jbnorm_var1(y)
// Useful mainly for programming purpose (since des_stat does much more).
AUTHOR
Eric Dubois 2002-2007