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A SIMPLE TEST OF NORMALITY FOR TIME SERIES

Published online by Cambridge University Press:  01 August 2004

Ignacio N. Lobato  and
Carlos Velasco
Ignacio N. Lobato
Affiliation:
Instituto Tecnológico Autónomo de México (ITAM)
Carlos Velasco
Affiliation:
Institució Catalana de Recerca i Estudis Avançats and Universitat Autònoma de Barcelona
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Abstract

This paper considers testing for normality for correlated data. The proposed test procedure employs the skewness-kurtosis test statistic, but studentized by standard error estimators that are consistent under serial dependence of the observations. The standard error estimators are sample versions of the asymptotic quantities that do not incorporate any downweighting, and, hence, no smoothing parameter is needed. Therefore, the main feature of our proposed test is its simplicity, because it does not require the selection of any user-chosen parameter such as a smoothing number or the order of an approximating model.We are very grateful to Don Andrews and two referees for useful comments and suggestions. We are especially thankful to a referee who provided a FORTRAN code. Lobato acknowledges financial support from Asociación Mexicana de Cultura and from Consejo Nacional de Ciencia y Tecnologìa (CONACYT) under project grant 41893-S. Velasco acknowledges financial support from Spanish Dirección General de Enseñanza Superior, BEC 2001-1270.

Type
Research Article
Information
Econometric Theory , Volume 20 , Issue 4 , August 2004 , pp. 671 - 689
Copyright
© 2004 Cambridge University Press

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