<< doornhans Econometric tests and diagnostics hetero_sq >>

Grocer >> Econometric tests and diagnostics > doornhans0

doornhans0

Doornik and Hansen normality test

CALLING SEQUENCE

[dh,pn]=doornhans0(res,np)

PARAMETERS

Input

* res = a result tlist

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

 

Output

* dh = the value of the test

* pn = its p-value

DESCRIPTION

Computes "omnibus" normality test (see J. Doornik and H. Hansen (1994) : "A practical test for univariate and multivariate normality", Discussion Paper, Nuffield College). 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
[dh,pn]=doornhans0(rols)
// Useful mainly for programming purpose (since doornhans does much more).

AUTHOR

Eric Dubois 2002

Report an issue
<< doornhans Econometric tests and diagnostics hetero_sq >>