statsmodels / statsmodels/statsmodels
Doornik-Hansen test for multivariate normality
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Description
This seems to be the preferred test for VAR residual normality testing. Do we have it anywhere?
http://economics.ouls.ox.ac.uk/12773/1/normal2.pdf
http://lists.wfu.edu/pipermail/gretl-users/2007-November/001954.html
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by reading the linked Doornik-Hansen paper and the Gretl discussion to understand the proposed test for VAR residual normality. Then locate the existing VAR residual normality testing entry points in statsmodels and determine the expected API and validation coverage; done requires an agreed implementation scope and verified test results.
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Assessment
- Tech stack
- python
- Domain
- data
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100