Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test
AbstractIt is well known that the finite-sample null distribution of the Jarque-Bera Lagrange Multiplier (LM) test for normality and its adjusted version (ALM) introduced by Urzua differ considerably from their asymptotic \chi^2(2) limit. Here, we present results from Monte Carlo simulations using 10^7 replications which yield very precise numbers for the LM and ALM statistic over a wide range of critical values and sample sizes. Depending on the sample size and values of the statistic we get p values which signicantly deviate from numbers previously published and used in hypothesis tests in many statistical software packages. The p values listed in this short Letter enable for the first time a precise implementation of the Jarque-Bera LM and ALM tests for finite samples.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19155.
Date of creation: 11 Dec 2009
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Jarque-Bera; Lagrange Multiplier;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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- Deb, Partha & Sefton, Martin, 1996. "The distribution of a Lagrange multiplier test of normality," Economics Letters, Elsevier, vol. 51(2), pages 123-130, May.
- Campbell, Cynthia J. & Cowan, Arnold R. & Salotti, Valentina, 2010. "Multi-country event-study methods," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3078-3090, December.
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