Testing for normality with applications

Marian Vavra ()

No WP 1/2015, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: This paper considers the problem of testing for normality of the marginal law of univariate and multivariate stationary and weakly dependent random processes using a bootstrap-based Anderson-Darling test statistic. The finite-sample properties of the test are assessed via Monte Carlo experiments. An application to the inflation forecast errors is also presented.

Keywords: testing for normality; Anderson-Darling statistic; sieve bootstrap; weak dependence (search for similar items in EconPapers)
JEL-codes: C12 C15 C32 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2015-03
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: A distance test of normality for a wide class of stationary processes (2017)
Working Paper: A Distance Test of Normality for a Wide Class of Stationary Processes (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1031

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