*
* @MVJB( options) u start end
*
* Computes a multivariate version of the Jarque-Bera test for normality.
* Note that there are more sophisticated versions of this (for instance,
* Doornik and Hansen, "An Omnibus Test for Univariate and Multivariate
* Normality"). This just transforms the input residual series to
* uncorrelated components (using an eigenbased factorization if not
* provided by the user) and sums up the univariate JB statistics from
* those.
*
* Parameters:
* u VECTOR of SERIES
* start end Range for the calculation [by default, the maximum
* combined range of the u's]
*
* Options:
* SIGMA=SYMMETRIC covariance matrix of u
* FACTOR=RECTANGULAR factor of the covariance matrix of u.
* One of these two must be supplied.
*
* Revision Schedule
* 03/2005 Written by Tom Doan, Estima
* 10/2010 Add title to report.
*
procedure MVJB u start end
type vect[series] u
type integer start end
*
option rect factor
option symm sigma
*
local vect[series] v
local integer i startl endl
local rect eigfac invfact
local integer n
local real jbtotal
*
inquire(reglist) startl<