Jarque and Bera normality test on the residuals of a regression
[rjbnorm]=jbnorm(res,arg1,...,argn)
* res = a result tlistor a variable which can be a vector or a ts between quotes or not
* argi = optional arguments that can be:
- 'noprint' if the user does not want to print the results
- 'dropna' if the user wants to remove the NA values from the data
* rjbnorm = a typed list with :
- rjbnorm('meth') = 'jbnorm'
- rjbnorm('r1st') = results of the first step regression (if res was a results tlist)
- rjbnorm('chistat') = the value of the chi2 statistics
- rjbnorm('chi_pvalue') = the corresponding p-value
- rjbnorm('chi_df') = the corresponding degrees of freedom
- rjbnorm('skewness') = the skewness of the residuals
- rjbnorm('kurtosis') = the kurtosis of the residuals
- rjbnorm('dropna') = a boolean indicating if NAs have been droped(if the first input was a ts)
- rjbnorm('nonna') = vector indicating position of non-NA values (if the option 'dropna' was active)
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 6 jbnorm(rols) // Example taken from hendryericsson. The example provides the normality test for Hendry and Ericsson equation # 6, // whose results have been stored in tlist rols. | ![]() | ![]() |