Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Monte Carlo Evidence

Anil K Bera; Carlos M. Jarque

doi:10.1016/0165-1765(81)90035-5

Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Monte Carlo Evidence

Anil K Bera, Carlos M. Jarque

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper we study the performance of various tests for normality (N), homoscedasticity (H) and serial independence (I) of regression residuals (u) under one, two and three directional departures from H_O:u∼NHI.

Original language	English (US)
Pages (from-to)	313-318
Number of pages	6
Journal	Economics Letters
Volume	7
Issue number	4
DOIs	https://doi.org/10.1016/0165-1765(81)90035-5
State	Published - 1981
Externally published	Yes

ASJC Scopus subject areas

Economics and Econometrics
Finance

Online availability

10.1016/0165-1765(81)90035-5

Library availability

Discover UIUC Full Text

Cite this

@article{fb25843093824b79ae26bf43d20f9a40,

title = "Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Monte Carlo Evidence",

abstract = "In this paper we study the performance of various tests for normality (N), homoscedasticity (H) and serial independence (I) of regression residuals (u) under one, two and three directional departures from HO:u∼NHI.",

author = "Bera, {Anil K} and Jarque, {Carlos M.}",

year = "1981",

doi = "10.1016/0165-1765(81)90035-5",

language = "English (US)",

volume = "7",

pages = "313--318",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "4",

}

TY - JOUR

T1 - Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Monte Carlo Evidence

AU - Bera, Anil K

AU - Jarque, Carlos M.

PY - 1981

Y1 - 1981

N2 - In this paper we study the performance of various tests for normality (N), homoscedasticity (H) and serial independence (I) of regression residuals (u) under one, two and three directional departures from HO:u∼NHI.

AB - In this paper we study the performance of various tests for normality (N), homoscedasticity (H) and serial independence (I) of regression residuals (u) under one, two and three directional departures from HO:u∼NHI.

UR - http://www.scopus.com/inward/record.url?scp=0242280305&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0242280305&partnerID=8YFLogxK

U2 - 10.1016/0165-1765(81)90035-5

DO - 10.1016/0165-1765(81)90035-5

M3 - Article

AN - SCOPUS:0242280305

VL - 7

SP - 313

EP - 318

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 4

ER -

Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Monte Carlo Evidence

Abstract

ASJC Scopus subject areas

Online availability

Library availability

Related links

Fingerprint

Cite this