Tests for Skewness, Kurtosis, and Normality for Time Series Data

By Jushan Bai, Serena Ng. 2005

500 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3d4eaf434506fe0728f538927d859214004930cb

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Citations in the corpus

The Brevity and Violence of Contractions and Expansions (2008, unknown): “See also Falk (1986), Sichel (1989, 1993), Rothman (1991), Verbrugge (1997), Belaire-Franch and Peiro (2003), and Bai and Ng (2005).”
Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments (2015, methodology): “The tests of Bai and Ng (2005) were employed by D’Agostino, Gambetti, and Giannone (2013) for the evaluation of their density forecasts.”
Macroeconomic Forecasting and Structural Change (2010, unknown): “(5) (5)Giordani and Villani (2009) and Amisano and Geweke (2007) relax the Gaussianity assumption and show that this can lead to gains in terms of forecasting performance.”
Alternative tests for correct specification of conditional predictive densities (2019, background): “See also Bai and Ng (2005) and Bontemps and Meddahi (2012) for in-sample tests of distributional assumptions. however, when parameter estimation error is asymptotically relevant, the asymptotic distribution is not nuisance parameter free and a bootstrap procedure is proposed.”
The econometrics of mean-variance efficiency tests: a survey (2009, unknown): “The advantage of their test relative to the skewness component of the usual Jarque-Bera (1981) test is that it can be made robust to non-normality, heteroskedasticity and serial correlation (see also Bai and Ng (2005) and Bontempts and Meddahi (2005) for closely related approaches).”
Likelihood-based scoring rules for comparing density forecasts in tails (2011, methodology): “2 Alternative test statistics based on the PIT are developed in Berkowitz (2001); Bai (2003); Bai and Ng (2005); Hong and Li (2005); Li and Tkacz (2006), and Corradi and Swanson (2006a), mainly to counter the problems caused by parameter estimation uncertainty and the assumption of correct dynamic…”
A SIMPLE TEST OF NORMALITY FOR TIME SERIES (2004, background): “For instance, Bai and Ng (2001) test for normality in a set of macroeconomic series, whereas Bontemps and Meddahi (2002) emphasize financial applications.”