Facultade de Fisioterapia

Characterization of multinormality and corresponding tests of fit, including for GARCH models

Henze, Norbert; Jiménez Gamero, María Dolores; Meintanis, Simos G.
Abstract:
We provide novel characterizations of multivariate normality that incorporate both the characteristic function and the moment generating function, and we employ these results to construct a class of affine invariant, consistent and easy-to-use goodness-of-fit tests for normality. The test statistics are suitably weighted L2-statistics, and we provide their asymptotic behavior both for i.i.d. observations as well as in the context of testing that the innovation distribution of a multivariate GARCH model is Gaussian. We also study the finite-sample behavior of the new tests and compare the new criteria with alternative existing tests.
Year:
2019
Type of Publication:
Article
Journal:
Econometric Theory
Volume:
35
Number:
3
Pages:
510-546
Month:
June
Note:
Q2 58/123 h-indez 1,069 (JCR2018)
Comments:
MTM2017–89422–P
DOI:
https://doi.org/10.1017/S0266466618000154
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