Portal de Periódicos da CAPES

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

1980; Elsevier BV; Volume: 6; Issue: 3 Linguagem: Inglês

10.1016/0165-1765(80)90024-5

1873-7374

Carlos M. Jarque, Anil K. Bera,

Fault Detection and Control Systems

We use the Lagrange multiplier procedure to derive efficient joint tests for residual normality, homoscedasticity and serial independence. The tests are simple to compute and asymptotically distributed as χ2.