Journal
ECONOMETRIC THEORY
Volume 35, Issue 3, Pages 510-546Publisher
CAMBRIDGE UNIV PRESS
DOI: 10.1017/S0266466618000154
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Funding
- Spanish Ministry of Economy, Industry and Competitiveness/ERDF [MTM2017-89422-P]
- Special Account for Research Grants (EAKE) of the National and Kapodistrian University of Athens [11699]
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We provide novel characterizations of multivariate normality that incorporate both the characteristic function and the moment generating function, and we employ these results to construct a class of affine invariant, consistent and easy-to-use goodness-of-fit tests for normality. The test statistics are suitably weighted L-2-statistics, and we provide their asymptotic behavior both for i.i.d. observations as well as in the context of testing that the innovation distribution of a multivariate GARCH model is Gaussian. We also study the finite-sample behavior of the new tests and compare the new criteria with alternative existing tests.
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