normality.test2: Omnibus Normality Test under Weak Dependence
Description
Perform the Doornik-Hansen Test for Normality with allowance for the variable(s) being weakly dependent rather than
independent. The test was implicitly suggested by Lobato and Velasco (2004).
Usage
normality.test2(x)
Arguments
x
Input matrix by row n (observations) and column p (variables)
Value
htest containing the following components:
sk
skewness statistics
k
kurtosis statistics
rtb1
skewness of standardized variables
b2
kurtosis of standardized variables
z1
skewness of transformed variables
z2
kurtosis of transformed variables
pvalsk
p-values under null of no skewness
pskneg
p-values under null of no negative skewness
pskpos
p-values under null of no positive skewness
pvalk
p-values under null of no kurtosis
pkneg
p-values under null of no negative kurtosis
pkpos
p-values under null of no positive kurtosis
Ep
value of the normality test statistic
dof
degrees of freedom
Sig.Ep
significance of normality test statistic
Details
In the univariate case, the input matrix is row n (observations) by 1
References
Doornik, J.A., and H. Hansen (1994). "An Omnibus Test for Univariate and Multivariate Normality", Working Paper, Nuffield College,
Oxford University, U.K.
Lobato, I., and C. Velasco (2004). "A Simple Test of Normality of Time Series", Econometric Theory, 20, pp. 671-689, Cambridge University Press.