Omnibus Normality Test under Weak Dependence

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Description

Perform the Doornik-Hansen Test for Normality with allowance for the variable(s) being weakly dependent rather than independent. The test was implicitly suggested by Lobato and Velasco (2004).

Usage

1

Arguments

x

Input matrix by row n (observations) and column p (variables)

Details

In the univariate case, the input matrix is row n (observations) by 1

Value

A list with class htest containing the following components:

sk

skewness statistics

k

kurtosis statistics

rtb1

skewness of standardized variables

b2

kurtosis of standardized variables

z1

skewness of transformed variables

z2

kurtosis of transformed variables

pvalsk

p-values under null of no skewness

pskneg

p-values under null of no negative skewness

pskpos

p-values under null of no positive skewness

pvalk

p-values under null of no kurtosis

pkneg

p-values under null of no negative kurtosis

pkpos

p-values under null of no positive kurtosis

Ep

value of the normality test statistic

dof

degrees of freedom

Sig.Ep

significance of normality test statistic

Author(s)

Peter Wickham

References

Doornik, J.A., and H. Hansen (1994). "An Omnibus Test for Univariate and Multivariate Normality", Working Paper, Nuffield College, Oxford University, U.K. Lobato, I., and C. Velasco (2004). "A Simple Test of Normality of Time Series", Econometric Theory, 20, pp. 671-689, Cambridge University Press.

See Also

normality.test1