Usman Gilani
2013-Feb-01 07:23 UTC
[R] normalité test using over identifying moment conditions
Hi, I'm trying to interpret the following results, with respect to "normality test using the over identifying moment conditions" where returns have normal distribution with parameter mu,sd and i have 4 moment conditions>E[r-mu/sd]=0>E[(r-mu)^2/sd-1]=0>E[(r-mu)^3/sd^3]=0>E[(r-mu)^4/sd^4-3]=0output.. gel(g = g, x = returns, tet0 = c(f3$estimate[1], f3$estimate[2])) Type of GEL: EL Coefficients: Estimate Std. Error t value Pr(>|t|) mean -0.01168 0.05614 -0.20805 0.83519 sd 1.77591 0.03965 44.79218 0.00000 Lambdas: Estimate Std. Error t value Pr(>|t|) Lambda[1] -0.09743 0.03912 -2.49028 0.01276 Lambda[2] 0.65728 0.02443 26.90505 0.00000 Lambda[3] 0.03247 0.01304 2.48961 0.01279 Lambda[4] -0.10954 0.00407 -26.90423 0.00000 Over-identifying restrictions tests: degrees of freedom is 2 statistics p-value LR test 2.3341e+02 2.0730e-51 LM test 7.2417e+02 5.5954e-158 J test 7.2417e+02 5.5954e-158 Convergence code for the coefficients: 0 Convergence code for the lambdas: 0 does the J-test p-value rejecting the null E[g(theta,x)]=0, and which moment condition is true under normality [[alternative HTML version deleted]]