statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQResults.test_normality

DynamicFactorMQResults.test_normality(method)

Test for normality of standardized residuals.

Null hypothesis is normality.

Parameters

method{‘jarquebera’, None}

The statistical test for normality. Must be ‘jarquebera’ for Jarque-Bera normality test. If None, an attempt is made to select an appropriate test.

See also

statsmodels.stats.stattools.jarque_bera

The Jarque-Bera test of normality.

Notes

Let d = max(loglikelihood_burn, nobs_diffuse); this test is calculated ignoring the first d residuals.

In the case of missing data, the maintained hypothesis is that the data are missing completely at random. This test is then run on the standardized residuals excluding those corresponding to missing observations.