Robust testing for normality of error terms with presence of autocorrelation and conditional heteroscedasticity

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F17%3A43910795" target="_blank" >RIV/62156489:43110/17:43910795 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1063/1.4972747" target="_blank" >http://dx.doi.org/10.1063/1.4972747</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1063/1.4972747" target="_blank" >10.1063/1.4972747</a>

Result language

angličtina

Original language name

Robust testing for normality of error terms with presence of autocorrelation and conditional heteroscedasticity

Original language description

Normality of the error terms in regression models is one of the basic assumptions in the applied regression analysis. Therefore, testing for normality of the error terms constitutes one of the most important steps of regression model verification and validation. Failure to assess non-normality of the error terms may lead to incorrect results of usual statistical inference techniques such as t-test or F-test. Within the applied regression analysis there is a frequent problem of the presence of autocorrelation and conditional heteroscedasticity of the error terms. Under both autocorrelation and heteroscedasticity, the usual OLS estimators are still unbiased, linear and asymptotically normally distributed, however, no longer have the minimum variance property among all linear unbiased estimators. Therefore, the aim of this paper is to present and discuss normality testing of the error terms with presence of autocorrelation and conditional heteroscedasticity. To explore the power of selected classical tests and robust tests for normality, we perform simulation study.

Czech name

—

Czech description

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Type

D - Article in proceedings

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

Project

<a href="/en/project/GA16-07089S" target="_blank" >GA16-07089S: Robust approach to testing for normality of error terms in econometric models</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

AIP Conference Proceedings 1798

ISBN

978-0-7354-1464-8

ISSN

—

e-ISSN

neuvedeno

Number of pages

6

Pages from-to

&quot;Nestránkováno&quot;

Publisher name

American Institute of Physics (AIP)

Place of publication

Melville

Event location

La Rochelle

Event date

Jul 4, 2016

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000399203000154