Description Usage Arguments Details Value References See Also Examples

This function applies the test for normality proposed in Jarque and Bera (1980).

1 | ```
JarqueBera.test(x, fc = 3.5, ...)
``` |

`x` |
a time series of residuals or an object of class |

`fc` |
a numeric. Factor to asses whether the first residual observations
are to be omitted. Ignored if |

`...` |
further arguments. Currently omitted. |

This function is based on function `jarque.bera.test`

available in package tseries.
Here, the results are split in a test for the null hypothesis that the
skewness is *0*, the null that the kurtosis is *3* and the overall
Jarque-Bera test.

The input can be a time series of residuals, `jarque.bera.test.default`

,
or an `Arima`

object, `jarque.bera.test.Arima`

from which the residuals
are extracted.
In the former case the whole input series of residuals is used.
In the latter case,
the first *n0* (defined below) residuals are omitted if they are are equal to zero
or if any of them are in absolute value larger than `fc`

times
the standard deviation of the remaining residuals.
*n0* is set equal to `x$arma[6] + x$arma[5] * x$arma[7]`

, i.e.
the number of regular differences times the periodicity of the data times
the number of seasonal differences. If *n0* happens to be equal to *1*
it is set to *2*.

If the latter trimming operation is not desired,
the argument `fc`

can be set to a high value to ensure the complete
series of residuals in considered; or the function can be called
as `jarque.bera.test(residuals(x))`

.

Missing observations are omitted.

A list containing one `htest`

object for the null hypothesis that
the kurtosis is *3*, the skewness is *0* and a test combining
both the kurtosis and the skewness to test for the normality of the input data.

Jarque, C. M. and Bera, A. K. (1980).
‘Efficient test for normality, homoscedasticity and
serial independence of residuals’.
*Economic Letters*, **6**(3), pp. 255-259.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 | ```
# fit an ARIMA model to the HICP 011600 series
# ARIMA(0,1,0)(2,0,1) was chosen by forecast::auto.arima(ic = "bic")
# normality of the residuals is rejected at the 5% significance level
# due to an excess of kurtosis
data("hicp")
y <- log(hicp[["011600"]])
fit1 <- arima(y, order = c(0, 1, 0), seasonal = list(order = c(2, 0, 1)))
JarqueBera.test(fit1)
JarqueBera.test(residuals(fit1))
# fit ARIMA model for the same series including outliers that were
# detected by "tso" and for the model chosen by "auto.arima"
# normality of the residuals is not rejected at the 5% significance level
# after including the presence of outliers
mo <- outliers(c("AO", "AO", "LS", "LS"), c(79, 210, 85, 225))
xreg <- outliers.effects(mo, length(y))
fit2 <- arima(y, order = c(1, 1, 0), seasonal = list(order = c(2, 0, 2)),
xreg = xreg)
JarqueBera.test(fit2)
``` |

tsoutliers documentation built on May 29, 2017, 8:07 p.m.

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