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Testing Normality : A Gmm Approach

Citations

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Cited by:

  1. Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003. "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 891-906, December.
  2. Bertrand Candelon & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2011. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 314-343, Spring.
  3. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
  4. DAVTYAN Azat, 2014. "Gmm Estimation And Shapiro-Francia Normality Test: A Case Study Of Developing Countries," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 9(1), pages 43-58, April.
  5. Corradi, Valentina & Swanson, Norman R., 2011. "Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models," Journal of Econometrics, Elsevier, vol. 161(2), pages 304-324, April.
  6. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
  7. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  8. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
  9. Mencia, Javier F. & Sentana, Enrique, 2004. "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics 24742, London School of Economics and Political Science, LSE Library.
  10. León, à ngel & Mencía, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
  11. Thanasis Stengos & Ximing Wu, 2010. "Information-Theoretic Distribution Test with Application to Normality," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 307-329.
  12. Vadim Marmer, 2008. "Testing the null hypothesis of no regime switching with an application to GDP growth rates," Empirical Economics, Springer, vol. 35(1), pages 101-122, August.
  13. Christian Bontemps & Nour Meddahi, 2012. "Testing distributional assumptions: A GMM aproach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
  14. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Moment tests of independent components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 429-474, May.
  15. Czesław Domański & Piotr Szczepocki, 2020. "Comparison of selected tests for univariate normality based on measures of moments," Statistics in Transition New Series, Polish Statistical Association, vol. 21(5), pages 151-178, December.
  16. Shalit, Haim, 2012. "Using OLS to test for normality," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 2050-2058.
  17. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 187-228.
  18. Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
  19. James Mitchell & Richard J. Smith & Martin R. Weale, 2013. "Efficient Aggregation Of Panel Qualitative Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(4), pages 580-603, June.
  20. Diep Duong & Norman Swanson, 2013. "Density and Conditional Distribution Based Specification Analysis," Departmental Working Papers 201312, Rutgers University, Department of Economics.
  21. Theodore Panagiotidis & Georgios Papapanagiotou, 2024. "A note on the determinants of NFTs returns," Discussion Paper Series 2024_02, Department of Economics, University of Macedonia, revised Feb 2024.
  22. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
  23. Fleming, Jeff & Paye, Bradley S., 2011. "High-frequency returns, jumps and the mixture of normals hypothesis," Journal of Econometrics, Elsevier, vol. 160(1), pages 119-128, January.
  24. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  25. Galvao, Antonio F. & Montes-Rojas, Gabriel & Sosa-Escudero, Walter & Wang, Liang, 2013. "Tests for skewness and kurtosis in the one-way error component model," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 35-52.
  26. Psaradakis, Zacharias & Vávra, Marián, 2017. "A distance test of normality for a wide class of stationary processes," Econometrics and Statistics, Elsevier, vol. 2(C), pages 50-60.
  27. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
  28. Elena-Ivona DUMITRESCU & Christophe HURLIN & Jaouad MADKOUR, 2011. "Testing Interval Forecasts: A New GMM-based Test," LEO Working Papers / DR LEO 1549, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  29. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
  30. repec:hal:journl:peer-00796745 is not listed on IDEAS
  31. Thorsten Thadewald & Herbert Buning, 2007. "Jarque-Bera Test and its Competitors for Testing Normality - A Power Comparison," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(1), pages 87-105.
  32. Andrea Bastianin, 2020. "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Applied Economics, Taylor & Francis Journals, vol. 52(7), pages 637-670, February.
  33. Malte Knüppel, 2015. "Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 270-281, April.
  34. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009. "A Risk Management Approach for Portfolio Insurance Strategies," Documents de travail du Centre d'Economie de la Sorbonne 09034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  35. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
  36. Amengual, Dante & Carrasco, Marine & Sentana, Enrique, 2020. "Testing distributional assumptions using a continuum of moments," Journal of Econometrics, Elsevier, vol. 218(2), pages 655-689.
  37. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES 2008_009, ULB -- Universite Libre de Bruxelles.
  38. Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.
  39. Zhao, Xinyi & Shen, Xinwei & Guo, Qinglai & Sun, Hongbin & Oren, Shmuel S., 2020. "A stochastic distribution system planning method considering regulation services and energy storage degradation," Applied Energy, Elsevier, vol. 277(C).
  40. Zacharias Psaradakis & Marian Vavra, 2017. "Normality Tests for Dependent Data," Working and Discussion Papers WP 12/2017, Research Department, National Bank of Slovakia.
  41. Corradi, Valentina & Swanson, Norman R., 2005. "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, vol. 124(1), pages 117-148, January.
  42. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
  43. Aldo Goia & Ernesto Salinelli & Pascal Sarda, 2011. "Exploring the statistical applicability of the Poincaré inequality: a test of normality," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 334-352, August.
  44. González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
  45. Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
  46. Donghang Luo & Ke Zhu & Huan Gong & Dong Li, 2020. "Testing error distribution by kernelized Stein discrepancy in multivariate time series models," Papers 2008.00747, arXiv.org.
  47. Durham, Garland B., 2006. "Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models," Journal of Econometrics, Elsevier, vol. 133(1), pages 273-305, July.
  48. Chioneso S. Marange & Yongsong Qin & Raymond T. Chiruka & Jesca M. Batidzirai, 2023. "A Blockwise Empirical Likelihood Test for Gaussianity in Stationary Autoregressive Processes," Mathematics, MDPI, vol. 11(4), pages 1-20, February.
  49. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
  50. Garrod, Neil & Pirkovic, Sonja Ratej & Valentincic, Aljosa, 2006. "Testing for discontinuity or type of distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(1), pages 9-15.
  51. Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2018_1708, CEMFI.
  52. Bhardwaj, Geetesh & Corradi, Valentina & Swanson, Norman R., 2008. "A Simulation-Based Specification Test for Diffusion Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 176-193, April.
  53. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.
  54. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
  55. Ryan Janicki & Tucker S. McElroy, 2016. "Hermite expansion and estimation of monotonic transformations of Gaussian data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 207-234, March.
  56. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  57. Vít Bubák & Filip Žikeš, 2009. "Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(4), pages 334-359, Oktober.
  58. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May.
  59. Kontogeorgos, Georgios & Lambrias, Kyriacos, 2019. "An analysis of the Eurosystem/ECB projections," Working Paper Series 2291, European Central Bank.
  60. Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
  61. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
  62. Durham, Garland B., 2007. "SV mixture models with application to S&P 500 index returns," Journal of Financial Economics, Elsevier, vol. 85(3), pages 822-856, September.
  63. Elena‐Ivona Dumitrescu & Christophe Hurlin & Jaouad Madkour, 2013. "Testing Interval Forecasts: A GMM‐Based Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(2), pages 97-110, March.
  64. Yong Bao, 2013. "On Sample Skewness and Kurtosis," Econometric Reviews, Taylor & Francis Journals, vol. 32(4), pages 415-448, December.
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