Measures of multivariate skewness and kurtosis for tests of nonnormality |
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| Authors: | H Lütkepohl B Theilen |
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| Institution: | 1. Institut für Statistik und ?konometrie, Christian-Albrechts-Universit?t Kiel, Olshausenstr. 40, 2300, Kiel 1, Germany
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| Abstract: | Measures of multivariate skewness and kurtosis are proposed that are based on the skewness and kurtosis of individual components of standardized sample vectors. Asymptotic properties and small sample critical values of tests for nonnormality based on these measures are provided. It is demonstrated that the tests have favorable power properties. Extensions to time series data are pointed out. |
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