We show that the Jarque-Bera (JB) test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all.
On the Validity of the Jarque–Bera normality test in conditionally heteroskedastic dynamic regression models / G. FIORENTINI; E. SENTANA; G. CALZOLARI. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - STAMPA. - 83:(2004), pp. 307-312.
On the Validity of the Jarque–Bera normality test in conditionally heteroskedastic dynamic regression models
FIORENTINI, GABRIELE;CALZOLARI, GIORGIO
2004
Abstract
We show that the Jarque-Bera (JB) test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all.
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