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jbnorm

Jarque and Bera normality test on the residuals of a regression

CALLING SEQUENCE

[rjbnorm]=jbnorm(res,arg1,...,argn)

PARAMETERS

Input

* 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

 

Output

* 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)

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 in a tlist and displayed on screen if the user has not given as second argument 'noprint'.

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
 
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.

AUTHOR

Eric Dubois 2002-2007

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