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Testing normality: a GMM approach. (English) Zbl 1336.62056
Summary: In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the C. Stein [in: Proc. 6th Berkeley Sympos. math. Statist. Probab., Univ. Calif. 1970, 2, 583–602 (1972; Zbl 0278.60026)] equations. They coincide with the first class of moment conditions derived by L. P. Hansen and J. A. Scheinkman [Econometrica 63, No. 4, 767–804 (1995; Zbl 0834.60083)] when the random variable of interest is a scalar diffusion. Among other examples, Stein equation implies that the mean of Hermite polynomials is zero. The GMM approach we adopt is well suited for two reasons. It allows us to study in detail the parameter uncertainty problem, i.e., when the tests depend on unknown parameters that have to be estimated. In particular, we characterize the moment conditions that are robust against parameter uncertainty and show that Hermite polynomials are special examples. This is the main contribution of the paper. The second reason for using GMM is that our tests are also valid for time series. In this case, we adopt a heteroskedastic-autocorrelation-consistent approach to estimate the weighting matrix when the dependence of the data is unspecified. We also make a theoretical comparison of our tests with C. M. Jarque and A. K. Bera [“Efficient tests for normality, homoscedasticity and serial independence of regression residuals”, Econ. Lett. 6, No. 3, 255–259 (1980; doi:10.1016/0165-1765(80)90024-5)] and OPG regression tests of R. Davidson and J. G. MacKinnon [Estimation and inference in econometrics. New York, NY: Oxford University Press (1993; Zbl 1009.62596)]. Finite sample properties of our tests are derived through a comprehensive Monte Carlo study. Finally, two applications to GARCH and realized volatility models are presented.

62F03 Parametric hypothesis testing
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P20 Applications of statistics to economics
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