Lagrange Multiplier Tests for Normality Against Seminonparametric Alternatives
推导了拉格朗日乘子检验，用于检验平稳随机向量是否服从正态分布（允许异方差），备择假设为半非参数密度族。模拟显示有限样本性质合理，并应用于国债价格变化数据。
Abstract In this article, I derive the Lagrange multiplier test of the null hypothesis that a stationary random vector has a (possibly heteroscedastic) normal distribution against the alternative that the distribution is a member of the family with seminonparametric probability density functions considered by Gallant and Tauchen (1989). The test is shown to contain special cases of the moment tests proposed by Newey (1985) and Tauchen (1985). Evidence from a small simulation study is reported, showing that the test has reasonable finite-sample properties in moderately sized samples. The test is applied to the change of price in a treasury-bill data series analyzed by Tauchen and Pitts (1983) and Tauchen (1985). KEY WORDS: Autoregressive conditional heteroscedasticityConditional moment testsTime series