The distribution of a Lagrange multiplier test of normality

被引：27
作者：
Deb, P
Sefton, M
机构：
[1] PENN STATE UNIV,DEPT MANAGEMENT SCI & INFOMAT SYST,UNIVERSITY PK,PA 16802
[2] INDIANA UNIV PURDUE UNIV,DEPT ECON,INDIANAPOLIS,IN 46202
来源：
ECONOMICS LETTERS | 1996年 / 51卷 / 02期
关键词：
specification testing; normality; Monte Carlo;
D O I：
10.1016/0165-1765(95)00784-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper tabulates significance points for a Lagrange multiplier (LM) test for normality. We find the points to be accurate in regression models, including models where exact critical values cannot be obtained by simulation. We illustrate the test using macroeconomic time series.
引用
收藏
页码：123 / 130
页数：8
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