Tests for Skewness, Kurtosis, and Normality for Time Series Data

Abstract

We present the sampling distributions for the coefficient of skewness, kurtosis, and a joint test of normality for time series observations. We show that when the data are serially correlated, consistent estimates of three-dimensional long-run covariance matrices are needed for testing symmetry or kurtosis. These tests can be used to make inference about… (More)

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