An Empirical Likelihood Ratio Test for Normality in Linear Regression
AbstractThe empirical likelihood ratio (ELR) test for the problem of testing for normality in a linear regression modell is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using Monte Carlo simulation. The ELR test has good power properties against various alternative hypotheses.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0402.
Length: 18 pages
Date of creation: 08 Apr 2004
Date of revision:
Note: ISSN 1485-6441
Contact details of provider:
Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Web page: http://web.uvic.ca/econ
More information through EDIRC
Regression residual; Empirical likelihood ratio; Monte Carlo simulation; Normality;
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
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
This paper has been announced in the following NEP Reports:
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 & David E. A. Giles, 2004. "An Empirical Likelihood Ratio Test for Normality," Econometrics Working Papers, Department of Economics, University of Victoria 0401, Department of Economics, University of Victoria.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lori Cretney).
If references are entirely missing, you can add them using this form.