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.
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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
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Web page: http://web.uvic.ca/econ
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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
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- Lauren Bin Dong & David E. A. Giles, 2004. "An Empirical Likelihood Ratio Test for Normality," Econometrics Working Papers 0401, Department of Economics, University of Victoria.
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