Multivariate Normality Test

[rferraro]

Dear sirs,

R has a package called "mvnormtest" that implements "Shapiro-Wilk normality test". It is one among lots of different tests for multivariate normality. I also found an implementation for Matlab of "Mardia multivariate normality test using skewness & kurtosis".

I search for some kind of similar test on eviews, because all my series are there and it would be much more interesting to do all the tests in one application, but couldn´t find them in eviews (version 7).

Could you please tell me if I won´t able to appropriately find them or if someone, somewhere, implemented these kind of tests ? I am following the idea that univariate normallity tests doesn´t assure that the joint distribution of random variables will be normal. There are some examples in literature that discuss this. The best discussion I found on this topic was "An Appraisal and Bibliography of Tests for Multivariate Normality", at:

http://onlinelibrary.wiley.com/doi/10.1 ... x/abstract

I also searched the forum for some answer, but couldn´t find.

Thanks for your attention and your help.

best regards,
Ricardo.

[EViews Gareth]

I don't know of anywhere that has that done in EViews at the moment, but next time I contemplate writing an EViews 7.1 add-in, I'll bear it in mind.

[EViews Gareth]

http://forums.eviews.com/viewtopic.php?f=23&t=2999