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 |
|