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Testing Normality In Econometric Models
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Testing Normality In Econometric Models

Author

Listed:
  • Kiefer, Nicholas
  • Salmon, Mark

Abstract

A specification test based on an Edgeworth expansior is proposed and some of its useful properties are noted. In particular the test has an important additivity property, in that a test for higher-order alternatives simply adds additional, asymptotically independent X2 variates to tests against lower order alternatives.

Suggested Citation

  • Kiefer, Nicholas & Salmon, Mark, 1982. "Testing Normality In Econometric Models," Economic Research Papers 269159, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:269159
    DOI: 10.22004/ag.econ.269159
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