In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the location-scale model; hence reliance on available significance points in the context of regression models may cause size distortions. We propose a general solution to the problem of controlling the size normality tests for the disturbances of standard linear regression, which is based on using the technique of Monte Carlo tests.
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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number
9811.
Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
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