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.",

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year = "1980",

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journal = "Economics Letters",

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AU - Jarque, Carlos M.

AU - Bera, Anil K.

PY - 1980

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AB - 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.

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U2 - 10.1016/0165-1765(80)90024-5

DO - 10.1016/0165-1765(80)90024-5

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AN - SCOPUS:35548931351

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VL - 6

SP - 255

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JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

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

Abstract

ASJC Scopus subject areas

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