On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models

Abstract

We show that the Jarque-Bera test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all.

Keywords: Skewness, Kurtosis, ARCH, Moment Tests

JEL Classification: C52, C15, C22