It's in the bibliography of the Gretl User's Guide: Doornik, J.
On Fri, 11 Jun 2010, Henrique Andrade wrote:
> Could you suggest me some references about the Doornik-Hansen normality test
> in a VAR model (VAR model window, "Tests -> Normality of residuals")? I
> would like to know how to interpret it (the null hypothesis is the
> normality?) and I would like to know the difference between it and the
> single equation normality test.
A. and Hansen, H. (1994) "An Omnibus Test for Univariate and
Multivariate Normality", working paper, Nuffield College, Oxford.
google will find it for you.
Allin Cottrell
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