XploRe Help : jarber

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	stats
See also:	skewness kurtosis

Macro:		jarber
Description:		Quantlet for testing the normality of a data set.

Reference(s):

Bera, A.K. and Jarque, C.M. (1982). Model Specification Tests: a Simultaneous Approach, Journal of Econometrics, 20, 59-82.

Usage:	`{jb,probJB,sk,k} = jarber(resid,printout)`
Input:
	`resid`	(n x 1) matrix of observations
	`printout`	scalar, 0: no printout, 1: printout
Output:
	`jb`	test statistic of Jarque-Bera test
	`probjB`	probability value of test statistics
	`sk`	skewness
	`k`	kurtosis

Example:

x = normal(100,1) {jb,probjb,sk,k} = jarber(x,1)

Result:

prints and returns JB-test statistic and its
probability value, the standard deviation, skewness 
and kurtosis of the data in vector x

Library:	stats
See also:	skewness kurtosis

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Tschernig 000427