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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 6
[jb,pn]=jbnorm0(rols)
 
// Example taken from jbnorm. Useful mainly for programming purpose (since jbnorm does much more).

AUTHOR

Eric Dubois 2002-2007

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