Finite-sample quantiles of the Jarque-Bera test
AbstractThe finite-sample null distribution of the Jarque-Bera Lagrange multiplier test for normality differs considerably from the asymptotic X2 (2). However, asymptotic critical values are commonly used in applied work, even for relatively small sample sizes. Here, we develop very accurate response surface approximations for the 10% and 5% critical values of the test, which enable correct practical implementation.
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Bibliographic InfoPaper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 04-03.
Length: 7 pages
Date of creation: Feb 2004
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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
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