Orthogonalization: Cholesky (Lütkepohl)

Null Hypothesis: residuals are multivariate normal

Sample: 1981Q1 2014Q4

Included observations: 130

Component

Skewness

Chi-sq

df

Prob.

1

−0.547656

6.498421

1

0.0108

2

−0.345429

2.585287

1

0.1079

3

−0.090163

0.176135

1

0.6747

4

1.195005

30.94078

1

0.0000

5

0.182512

0.721732

1

0.3956

Joint

40.92235

5

0.0000

Component

Kurtosis

Chi-sq

df

Prob.

1

4.533753

12.74215

1

0.0004

2

5.394843

31.06605

1

0.0000

3

4.566699

13.29546

1

0.0003

4

12.70427

510.1025

1

0.0000

5

3.358568

0.696426

1

0.4040

Joint

567.9026

5

0.0000

Component

Jarque-Bera

df

Prob.

1

19.24057

2

0.0001

2

33.65134

2

0.0000

3

13.47160

2

0.0012

4

541.0433

2

0.0000

5

1.418157

2

0.4921

Joint

608.8250

10

0.0000