R: Normality, multivariate skewness and kurtosis test

normality.test {vars} | R Documentation

## Normality, multivariate skewness and kurtosis test

### Description

This function computes univariate and multivariate Jarque-Bera tests and multivariate skewness and kurtosis tests for the residuals of a VAR(p) or of a VECM in levels.

### Usage

    normality.test(x, multivariate.only = TRUE)

### Arguments

`x` | Object of class ‘`varest`’; generated by `VAR()`, or an object of class ‘`vec2var`’; generated by `vec2var()`.
`multivariate.only` | If `TRUE` (the default), only multivariate test statistics are computed.

### Details

Multivariate and univariate versions of the Jarque-Bera test are applied to the residuals of a VAR. The multivariate version of this test is computed by using the residuals that are standardized by a Choleski decomposition of the variance-covariance matrix for the centered residuals. Please note, that in this case the test result is dependant upon the ordering of the variables.

### Value

A list of class ‘`varcheck`’ with the following elements is returned:

`resid` | A matrix of the residuals.
`jb.uni` | A list of elements with class attribute ‘`htest`’ containing the univariate Jarque-Bera tests. This element is only returned if `multivariate.only = FALSE` is set.
`jb.mul` | A list of elements with class attribute ‘`htest`’.

containing the mutlivariate Jarque-Bera test, the multivariate Skewness and Kurtosis tests.

### Note

This function was named `normality` in earlier versions of package vars; it is now deprecated. See `vars-deprecated` too.

### Author(s)

Bernhard Pfaff

### References

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

Jarque, C. M. and A. K. Bera (1987), A test for normality of observations and regression residuals, International Statistical Review, 55: 163-172.

Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

### See Also

`VAR`, `vec2var`, `plot`

### Examples

    data(Canada)
    var.2c <- VAR(Canada, p = 2, type = "const")
    normality.test(var.2c)

[Package vars version 1.5-3 Index]