Small sample power of tests of normality when the alternative is an alpha-stable distribution
AbstractThis paper is a Monte-Carlo study of the small sample power of six tests of a normality hypotheses when the alternative is an alpha-stable distribution with param- eter values similar to those estimated for monthly total returns on equity indices. In these circumstances a sample size of 2oo is required to detect departures from normality. In most cases only small samples of consistent monthly data on such to- tal returns are available and these are not sufficient to differentiate between normal and alpha-stable distributions.
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Bibliographic InfoPaper provided by Trinity College Dublin, Department of Economics in its series Trinity Economics Papers with number tep0207.
Length: 51 pages
Date of creation: Feb 2007
Date of revision:
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
- Rafal Weron, 1996.
"Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables","
HSC Research Reports
HSC/96/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafal, 1996. "Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"," MPRA Paper 20761, University Library of Munich, Germany, revised 2010.
- Weron, Rafal, 1996. "On the Chambers-Mallows-Stuck method for simulating skewed stable random variables," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 165-171, June.
- Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
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