EViews Help: jbera

factor=chol	Factorization by the inverse of the Cholesky factor of the residual covariance matrix.
factor=cor	Factorization by the inverse square root of the residual correlation matrix (Doornik and Hansen, 1994).
factor=cov	Factorization by the inverse square root of the residual covariance matrix (Urzua, 1997).
name=arg	Save the test statistics in a named matrix object. See below for a description of the statistics contained in the stored matrix.
prompt	Force the dialog to appear from within a program.
p	Print the test results.

The “name=” option stores the following matrix. Let the VAR have

endogenous variables. Then the stored matrix will have dimension

. The first

rows contain statistics for each orthogonal component, where the first column contains the third moments, the second column contains the

statistics for the third moments, the third column contains the fourth moments, and the fourth column holds the

statistics for the fourth moments. The sum of the second and fourth columns are the Jarque-Bera statistics reported in the last output table.

The last row contains statistics for the joint test. The second and fourth column of the

row is simply the sum of all the rows above in the corresponding column and are the

statistics for the joint skewness and kurtosis tests, respectively. These joint skewness and kurtosis statistics add up to the joint Jarque-Bera statistic reported in the output table, except for the “factor=cov” option. When this option is set, the joint Jarque-Bera statistic includes all cross moments (in addition to the pure third and fourth moments). The overall Jarque-Bera statistic for this statistic is stored in the first column of the

row (which will be a missing value for all other options).

carries out the residual multivariate normality test using the inverse square root of the residual correlation matrix as the factorization matrix and stores the results in a matrix named JB.