# normality.test {vars}

### Description

This function computes univariate and multivariate Jarque-Bera tests and multivariate skewness and kurtosis tests for the residuals of a VAR(p) or of a VECM in levels.

### Usage

normality.test(x, multivariate.only = TRUE)

### Arguments

- x
- Object of class ‘
`varest`

’; generated by`VAR()`

, or an object of class ‘`vec2var`

’; generated by`vec2var()`

. - multivariate.only
- If
`TRUE`

(the default), only multivariate test statistics are computed.

### Details

Multivariate and univariate versions of the Jarque-Bera test are applied to the residuals of a VAR. The multivariate version of this test is computed by using the residuals that are standardized by a Choleski decomposition of the variance-covariance matrix for the centered residuals. Please note, that in this case the test result is dependant upon the ordering of the variables.

### Values

A list of class ‘`varcheck`

’ with the following elements is returned:

containing the mutlivariate Jarque-Bera test, the multivariate Skewness and Kurtosis tests.

- resid
- A matrix of the residuals.
- jb.uni
- A list of elements with class attribute ‘
`htest`

’ containing the univariate Jarque-Bera tests. This element is only returned if`multivariate.only = FALSE`

is set. - jb.mul
- A list of elements with class attribute ‘
`htest`

’.

### References

Hamilton, J. (1994), *Time Series Analysis*, Princeton University Press, Princeton.

Jarque, C. M. and A. K. Bera (1987), A test for normality of observations and regression residuals, *International Statistical Review*, **55**: 163-172.

L__tkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
__

### Note

This function was named `normality`

in earlier versions of package vars; it is now deprecated. See `vars-deprecated`

too.

### See Also

`VAR`

, `vec2var`

, `plot`

### Examples

data(Canada) var.2c <- VAR(Canada, p = 2, type = "const") normality.test(var.2c)

Documentation reproduced from package vars, version 1.5-2. License: GPL (>= 2)