jb_test: The Lomnicki-Jarque-Bera Test of normality (JB test)

Description Usage Arguments Details Value References See Also Examples

Description

This function performs the Lomnicki-Jarque-Bera Test of normality and returns test statistics and associated p-values.

Usage

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jb.test(obj, ...)

## S3 method for class 'jbtest'
print(x, digits = 3, ...)

Arguments

obj

a vector or matrix of variables to be tested.

x

an object of the class "jbtest".

digits

the number of digits to be displayed.

...

optional arguments. Currently not in use.

Details

obj is usually a vector or matrix of (the standardized) residuals from a GARCH model.

Value

An S3 class object "jbtest" is returned. It contains the test statistic and associated p-values.

References

Jarque, C.M. and A.K. Bera (1987), “A Test for Normality of Observations and Regression Residuals”, International Statistical Review, 55, 163–172.

Lomnicki, Z.A. (1961), “Tests for Departure from Normality in the Case of Linear Stochastic Processes”, Metrika, 4, 37–62.

See Also

lb.test, residDiag

Examples

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# for a vector
x <- rnorm(1000)
jb.test(x)

# for a matrix
X <- matrix(rnorm(10000), 5000,2)
jb.test(X)

ccgarch2 documentation built on May 31, 2017, 4:23 a.m.