On the validity of the jarque-bera normality test in conditionally heteroskedastic dynamic regression models

• Gabriele Fiorentini ^[2] ; Enrique Sentana ^[1] ; Giorgio Calzolari ^[2]
  1. [1] Centro de Estudios Monetarios y Financieros

     Centro de Estudios Monetarios y Financieros

     Madrid, España

     
  2. [2] Università di Firenze
• Localización: Documentos de Trabajo ( CEMFI ), Nº. 6 (CEMFI Working Paper 0306, January 2003), 2003
• Idioma: inglés
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• Dialnet Métricas: 1 Cita
• Resumen

  • We show that the Jarque-Bera test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all.