Misspecification tests. Information criteria.

Misspecification tests

Information criteria

Choice of lag length

Trace correlation

= 0.40

Tests of residual autocorrelation

Tests of residual heteroscedasticity

Normality

• Skewness and excess kurtosis

• Univariate normality tests (Jarque-Bera)

• Mulivariate normallity test (Doornik-Hansen)

Univariate Normality tests

Asymptotic normality tests

Univariate Jarque-Bera type of test:

Multivariate Jarque-Bera type of test:

Approximate normality tests

Multivariate Bowman-Shenton normality test

What about the other tests?