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Small sample power of tests of normality when the alternative is an alpha-stable distribution

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Author Info
John C. Frain () (Department of Economics, Trinity College Dublin)

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Abstract

This 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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File URL: http://www.tcd.ie/Economics/TEP/2007/TEP0207.pdf
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Publisher Info
Paper provided by Trinity College Dublin, Department of Economics in its series Trinity Economics Papers with number tep0207.

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Length: 51 pages
Date of creation: Feb 2007
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Handle: RePEc:tcd:tcduee:tep0207

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Postal: Trinity College, Dublin 2
Phone: (+ 353 1) 6081325
Fax: 6772503
Web page: http://www.tcd.ie/Economics/
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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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