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Simulation-Based Finite-Sample Normality Tests in Linear Regressions

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  • DUFOUR, Jean-Marie
  • FARHAT, Abdeljelil
  • GARDIOL, Lucien

Abstract

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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File URL: http://hdl.handle.net/1866/460
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Bibliographic Info

Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9811.

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Length: 20 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:mtl:montde:9811

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