Normality Testing- A New Direction
AbstractAbstract This paper is concerned with the evaluation of the performance of the normality tests to ensure the validity of the t-statistics used for assessing significance of regressors in a regression model. For this purpose, we have explored 40 distributions to find the most damaging distribution on the t-statistic. Power comparisons are conducted to find the best performing test against these distributions. It is found that Anderson-Darling statistic is the best option among the five normality tests, Jarque-Bera, Shapiro-Francia, D’Agostino & Pearson, Anderson-Darling & Lilliefors.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 16452.
Date of creation: 2008
Date of revision:
Normality test; power of the test; t-statistic;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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Cahiers de recherche
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