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    A distance test of normality for a wide class of stationary processes

    Psaradakis, Zacharias and Vavra, Marian (2017) A distance test of normality for a wide class of stationary processes. Econometrics and Statistics 2 , pp. 50-60. ISSN 2452-3062.

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    Abstract

    A distance test for normality of the one-dimensional marginal distribution of stationary fractionally integrated processes is considered. The test is implemented by using an autoregressive sieve bootstrap approximation to the null sampling distribution of the test statistic. The bootstrap-based test does not require knowledge of either the dependence parameter of the data or of the appropriate norming factor for the test statistic. The small-sample properties of the test are examined by means of Monte Carlo experiments. An application to real-world data is also presented.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): Distance test, Fractionally integrated process, Sieve bootstrap, Normality
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Zacharias Psaradakis
    Date Deposited: 17 Jan 2017 14:51
    Last Modified: 09 Dec 2017 01:10
    URI: http://eprints.bbk.ac.uk/id/eprint/17547

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