Misspecification tests. Information criteria.

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Presentation transcript:

Misspecification tests

Information criteria

Choice of lag length

Trace correlation = 0.40

Tests of residual autocorrelation

Tests of residual heteroscedasticity

Normality Skewness and excess kurtosis Univariate normality tests (Jarque-Bera) Mulivariate normallity test (Doornik- Hansen)

Univariate Normality tests

Asymptotic normality tests Univariate Jarque-Bera type of test: Multivariate Jarque-Bera type of test:

Approximate normality tests

Multivariate Bowman-Shenton normality test

What about the other tests?