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Misspecification tests

Misspecification tests. Information criteria

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Page 1: Misspecification tests. Information criteria

Misspecification tests

Page 2: Misspecification tests. Information criteria
Page 3: Misspecification tests. Information criteria
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Information criteria

Page 8: Misspecification tests. Information criteria

Choice of lag length

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Trace correlation

= 0.40

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Tests of residual autocorrelation

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Tests of residual heteroscedasticity

Page 13: Misspecification tests. Information criteria

Normality

• Skewness and excess kurtosis

• Univariate normality tests (Jarque-Bera)

• Mulivariate normallity test (Doornik-Hansen)

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Univariate Normality tests

Page 15: Misspecification tests. Information criteria

Asymptotic normality tests

Univariate Jarque-Bera type of test:

Multivariate Jarque-Bera type of test:

Page 16: Misspecification tests. Information criteria

Approximate normality tests

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Multivariate Bowman-Shenton normality test

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What about the other tests?

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