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Testing Normality in Econometric Models

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  • Kiefer, Nicholas M
  • Salmon, Mark

Abstract

A specification test based on an Edgeworth expansion is proposed and some of its useful properties are noted. In particular the test has an important additivity property, in that a test for higher-order alternatives simply adds additional, asymptotically independent variates to tests lower order alternatives.

Suggested Citation

  • Kiefer, Nicholas M & Salmon, Mark, 1982. "Testing Normality in Econometric Models," The Warwick Economics Research Paper Series (TWERPS) 216, University of Warwick, Department of Economics.
    • Handle: RePEc:wrk:warwec:216
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    File URL: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/1978-1988/twerp216.pdf
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