Jason
Doornik has more than 20 years of varied experience in accounting and finance from large corporations and emerging companies.
Doornik, 1996, Empirical Econometric Modelling: Using Pc Give for Windows.
Os testes de normalidade bivariada (
Doornik & Hansen, 2008) e de normalidade univariada de Shapiro-wilks foram significativos, indicando nao normalidade em todos os setores e periodos, isto impossibilita a avaliacao da significancia estatistica destas correlacoes, por isso os p-valores foram omitidos.
Doornik, (1994): An Omnibus Test for Univariate and Multivariate normality, Discussion paper, Nuffield College, Oxford University.
Doornik JA (2007) Object-Oriented Matrix Programming Using Ox.
The algorithm proposed by de la Torre for performing this estimation is largely similar to that described in detail for the DINA model (de la Torre, 2009), and is written in Ox (
Doornik, 2003).
Using the Doornik-Hansen test (
DOORNIK; HANSEN, 2008), we found that the variables used in this paper rejected the null hypothesis of multivariate normality (p = .000).
To test for normality of distribution of error term
Doornik Hansen, DH (1994) test will be used.
Initially, data were tested in relation to the univariate and multivariate normality, through Shapiro-Wilk test (Shapiro & Wilk, 1965) and symmetry and multivariate kurtosis tests (Mardia, 1970; 1980) (with modifications proposed by
Doornik & Hansen, 2008 omnibus test), respectively.
Doornik. "Statistical algorithms for state space models using SsfPack 2.2", Econometrics Journal 2, 1, 1999, pp.
Doornik et al., "Analysis of the morphometric characteristics of the thoracic and lumbar pedicles," Spine, vol.
Doornik, "Approximations to the asymptotic distributions of cointegration tests," Journal of Economic Surveys, vol.
