An Empirical Likelihood Ratio Test for Normality

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An Empirical Likelihood Ratio Test for Normality

Author Info

Lauren Bin Dong () (Statistics Canada)
David E. A. Giles () (Department of Economics, University of Victoria)

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David E. A. Giles

Abstract

The empirical likelihood ratio (ELR) test for the problem of testing for normality is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using the Monte Carlo simulation technique. The power comparisons against a wide range of alternative distributions show that the ELR test is the most powerful of these tests in certain situations.

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Publisher Info
Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0401.

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Length: 31 pages
Date of creation: 18 Feb 2004
Date of revision:
Handle: RePEc:vic:vicewp:0401

Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Phone: (250)721-8540
Fax: (250)721-6214
Web page: http://web.uvic.ca/econ
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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing

This paper has been announced in the following NEP Reports:

NEP-ALL-2004-02-23 (All new papers)
NEP-ECM-2004-02-23 (Econometrics)
NEP-ETS-2004-02-23 (Econometric Time Series)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
Ron Mittelhammer & George Judge & Ron Schoenberg, 2003. "Empirical Evidence Concerning the Finite Sample Performance of EL-Type Structural Equation Estimation and Inference Methods," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series 945, Department of Agricultural & Resource Economics, UC Berkeley. [Downloadable!]
Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
Other versions:
- Imbens, G.W. & Johnson, P. & Spady, R.H., 1995. "Information Theoretic Approaches to Inference in Movement Condition Models," Economics Papers 99, Economics Group, Nuffield College, University of Oxford.
- Guido W Imbens, Phillip Johnson & Richard H Spady, . "Information theoretic approaches to inference in moment condition model," Economics Papers W12., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," NBER Technical Working Papers 0186, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," Harvard Institute of Economic Research Working Papers 1736, Harvard - Institute of Economic Research.
Bera, Anil K. & Bilias, Yannis, 2002. "The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 51-86, March. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Lauren Bin Dong, 2004. "The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach," Econometrics Working Papers 0404, Department of Economics, University of Victoria. [Downloadable!]
Lauren Bin Dong & David E. A. Giles, 2004. "An Empirical Likelihood Ratio Test for Normality in Linear Regression," Econometrics Working Papers 0402, Department of Economics, University of Victoria. [Downloadable!]

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