MVJB—Multivariate Jarque-Bera test

[TomDoan]

@MVJB computes a multivariate version of the Jarque-Bera test for normality. Note that there are more sophisticated versions of this (for instance, Doornik and Hansen, "An Omnibus Test for Univariate and Multivariate Normality"). This just transforms the input residual series to uncorrelated components (using an eigenbased factorization if not provided by the user) and sums up the univariate JB statistics from those.

This has been changed (March 2018) to use the more standard method of inputting a set of series using a supplementary card, that is, something like

@mvjb(sigma=%sigma)
# resids


MVJB.SRC

Detailed description