Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence

By Lutz Kilian, U. Demiroğlu. 2000

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/531b248f0836a1fb24582bcca8598d6b581316a4

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Citations in the corpus

Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations (2009, background): “…) and LMs(θ̃T ) are again numerically invariant to the way in which the conditional covariance matrix is factorized, unlike the statistics proposed by Lütkephohl (1993), Doornik and Hansen (1994), and Kilian and Demiroglu (2000), who apply univariate Jarque and Bera (1980) tests to ε∗it(θ̃T ).”
Vector Autoregressive Models (2011, methodology): “The standard tests check whether the third and fourth moments of the residuals are in line with a normal distribution, as proposed by Lomnicki (1961) and Jarque and Bera (1987) for univariate models.”
Estimation and testing of dynamic models with generalised hyperbolic innovations (2005, background): “…both LMk( θT ) and LMs( θT ) are numerically invariant to the way in which the conditional covariance matrix is factorised, unlike the statistics proposed by Lütkephohl (1993), Doornik and Hansen (1994) or Kilian and Demiroglu (2000), who apply univariate Jarque and Bera (1980) tests to ε∗it( θT ).”
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With Student t Innovations (2003, background): “…existing simulation evidence indicates that the nite-sample size properties of many LM tests could be significantly different from the nominal levels, a fruitful avenue for future research would be to consider bootstrap procedures to reduce size distortions (see, e.g., Kilian and Demiroglu 2000).”
High moment partial sum processes of residuals in GARCH models and their applications (2005, unknown): “MR0963337 [16] Kilian, L. and Demiroglu, U. (2000).”
Tests for Skewness, Kurtosis, and Normality for Time Series Data (2005, background): “Lutkepohl (1993) considered autoregressive models (xt is the lag of yt) with et being iid, and Kilian and Demiroglu (2000) considered autoregressions with integrated variables.”
A SIMPLE TEST OF NORMALITY FOR TIME SERIES (2004, background): “of econometric or time series models (see, for instance, Lutkepohl (1991, Section 4.5) and Kilian and Demiroglu (2000) ).”
A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis (2005, background): “As noted for example by Kilian and Demiroglu (2000), there is considerable evidence of fat tails and skewness in the unconditional distribution of VAR residuals and of conditional heteroskedasticity in the error term.”
Bootstrap-After-Bootstrap Prediction Intervals for Autoregressive Models (2001, methodology): “However, Kilian and Demiroglu (2000) found that asymptotic critical values can be highly misleading and proposed the use of the bootstrap critical values.”