Question

Suppose we fit a VAR model to 6 time series simultaneously. At the 0.05 significance level, a 0.03 p-value of the Jarque-Bera test means that:

a) The constant variance assumption is not violated

b) The normality assumption is not violated

c) The normality assumption is violated

d) The constant variance assumption is violated

Answer 1

Solution:

Consider the Jarque-Bera test . It is a goodness of fit test.

The null hypothesis of this test is stated as

H₀ : The data in each mix design comes from a normal distribution with unknown mean and variance.

i.e. There is the normality assumption in the null hypothesis.

Here in the given test , p value = 0.03

= 0.05 ..significance level

p value is less than significance level

The null hypothesis is rejected at 0.05 significance level.

The normality assumption is violated.

Option c is correct