I have compiled a package in R which performs the Doornik-Hansen (1994)
version of the omnibus normality test (a finite sample version of the
Jarque-Bera test), including a variation which allows for weak dependence
rather than independence of the variable(s) in question. I have tried to
contact the compiler of the "nortest" package (which deals with the
same
subject) but have not received a response. I am seeking feedback (via e-mail
for information on the package) from anybody interested before I formally
submit the package to CRAN.
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