Multivariate Normality test: different results!

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Sanke Charmer
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Joined: Sun Nov 07, 2010 2:10 pm

Multivariate Normality test: different results!

Postby Sanke Charmer » Thu Nov 11, 2010 11:51 am

Hi!

I ran a VECM model in eviews 7.1 and when I test for multivariate normality the Ho cannot be rejected at conventional significance levels, BUT when I do the same tests (Cholesky, Doornik-Hansen and Urzua) in Eviews 6, the null was strongly rejected !!! :shock:

:?: Is there a problem in eviews 7.1 or eviews 6? Whats the source of the difference?
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consumo_08112010.wf1
The VECM is in the object equation VEC01
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Multivariate Normality test: different results!

Postby EViews Gareth » Thu Nov 11, 2010 12:23 pm

Your EViews 6 is probably out of date. When I run them in my version 6, they match those in version 7. There was a change made to the VAR normality tests in October 2008 to change the degree of freedom correction used.
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