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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

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