Efficient tests for normality, homoscedasticity and serial independence of regression residuals

Carlos M. Jarque; Anil K. Bera

doi:10.1016/0165-1765(80)90024-5

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

Carlos M. Jarque, Anil K. Bera

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

Abstract

We use the Lagrange multiplier procedure to derive efficient joint tests for residual normality, homoscedasticity and serial independence. The tests are simple to compute and asymptotically distributed as χ².

Original language	English (US)
Pages (from-to)	255-259
Number of pages	5
Journal	Economics Letters
Volume	6
Issue number	3
DOIs	https://doi.org/10.1016/0165-1765(80)90024-5
State	Published - 1980
Externally published	Yes

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/0165-1765(80)90024-5

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title = "Efficient tests for normality, homoscedasticity and serial independence of regression residuals",

abstract = "We use the Lagrange multiplier procedure to derive efficient joint tests for residual normality, homoscedasticity and serial independence. The tests are simple to compute and asymptotically distributed as χ2.",

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

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JO - Economics Letters

JF - Economics Letters

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ER -

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

Abstract

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