dc.contributor.author | Henze, Norbert | |
dc.contributor.author | Meintanis, Simos G. | |
dc.contributor.author | Jimenez-Gamero, M. Dolores | |
dc.date.accessioned | 2019-05-22T08:42:09Z | |
dc.date.available | 2019-05-22T08:42:09Z | |
dc.date.issued | 2019 | |
dc.identifier.citation | Henze, N. et al. 2019. Characterizations of multinormality and corresponding tests of fit, including for GARCH models. Econometric theory, 35(3):510-546. [https://doi.org/10.1017/S0266466618000154] | en_US |
dc.identifier.issn | 0266-4666 | |
dc.identifier.issn | 1469-4360 (Online) | |
dc.identifier.uri | http://hdl.handle.net/10394/32418 | |
dc.identifier.uri | https://doi.org/10.1017/S0266466618000154 | |
dc.description.abstract | We provide novel characterizations of multivariate normality that incorporate both the characteristic function and the moment generating function, and we employ these results to construct a class of affine invariant, consistent and easy-to-use goodness-of-fit tests for normality. The test statistics are suitably weighted L2-statistics, and we provide their asymptotic behavior both for i.i.d. observations as well as in the context of testing that the innovation distribution of a multivariate GARCH model is Gaussian. We also study the finite-sample behavior of the new tests and compare the new criteria with alternative existing tests | en_US |
dc.language.iso | en | en_US |
dc.publisher | Cambridge Univ Press | en_US |
dc.title | Characterizations of multinormality and corresponding tests of fit, including for GARCH models | en_US |
dc.type | Article | en_US |
dc.contributor.researchID | 21262977 - Meintanis, Simos George | |