IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v113y2011i2p199-201.html
   My bibliography  Save this article

A robust test for multivariate normality

Author

Listed:
  • Jönsson, Kristian

Abstract

The size of the Jarque–Bera test for multivariate normality can be severely distorted in small samples. An alternative test procedure, that turns out to have good size and power properties, is suggested.

Suggested Citation

  • Jönsson, Kristian, 2011. "A robust test for multivariate normality," Economics Letters, Elsevier, vol. 113(2), pages 199-201.
    • Handle: RePEc:eee:ecolet:v:113:y:2011:i:2:p:199-201
    DOI: 10.1016/j.econlet.2011.06.018
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176511002667
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econlet.2011.06.018?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Deb, Partha & Sefton, Martin, 1996. "The distribution of a Lagrange multiplier test of normality," Economics Letters, Elsevier, vol. 51(2), pages 123-130, May.
    2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, Decembrie.
    3. Maddala, G S & Wu, Shaowen, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-652, Special I.
    4. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    5. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
    6. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    7. G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wanfang Chen & Marc G. Genton, 2023. "Are You All Normal? It Depends!," International Statistical Review, International Statistical Institute, vol. 91(1), pages 114-139, April.
    2. Yanan Song & Xuejing Zhao, 2021. "Normality Testing of High-Dimensional Data Based on Principle Component and Jarque–Bera Statistics," Stats, MDPI, vol. 4(1), pages 1-12, March.
    3. Bruno Ebner & Norbert Henze, 2020. "Tests for multivariate normality—a critical review with emphasis on weighted $$L^2$$ L 2 -statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(4), pages 845-892, December.
    4. Norbert Henze & María Dolores Jiménez-Gamero, 2019. "A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 499-521, June.
    5. Kim, Namhyun, 2016. "A robustified Jarque–Bera test for multivariate normality," Economics Letters, Elsevier, vol. 140(C), pages 48-52.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ramiro Gil-Serrate & Julio López-Laborda & Jesús Mur, 2011. "Revenue Autonomy and Regional Growth: An Analysis of the 25-Year Process of Fiscal Decentralisation in Spain," Environment and Planning A, , vol. 43(11), pages 2626-2648, November.
    2. Katsoulacos Yannis & Metsiou Eleni & Tsionas Efthymios & Konstantakopoulou Ioanna, 2014. "Quantitative Price Tests in Antitrust Market Definition with an Application to the Savory Snacks Markets," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 12(1), pages 1-33, January.
    3. Ana Iregui & Jesús Otero, 2011. "Testing the law of one price in food markets: evidence for Colombia using disaggregated data," Empirical Economics, Springer, vol. 40(2), pages 269-284, April.
    4. Frauke Dobnik, 2011. "OLong-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 0237, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    5. Pedroni, Peter L. & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2015. "Nonparametric rank tests for non-stationary panels," Journal of Econometrics, Elsevier, vol. 185(2), pages 378-391.
    6. Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020. "Trends in distributional characteristics: Existence of global warming," Journal of Econometrics, Elsevier, vol. 214(1), pages 153-174.
    7. Daniel, Betty C. & Shiamptanis, Christos, 2013. "Pushing the limit? Fiscal policy in the European Monetary Union," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2307-2321.
    8. Yanfeng Liu & Miao Su & Jinjing Zhao & Sally Martin & Kum Fai Yuen & Choong-Bae Lee, 2023. "The determinants of China’s outward foreign direct investment: a vector error correction model analysis of coastal and landlocked countries," Economic Change and Restructuring, Springer, vol. 56(1), pages 29-56, February.
    9. Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank.
    10. Mustapha Djaballah, "undated". "The Impact Of Fdi And Exchange Rate On Gdp In Mena Countries : Evidence From The Panel Approach," Review of Socio - Economic Perspectives 202073, Reviewsep.
    11. Betty C. Daniel & Christos Shiamptanis, 2008. "Fiscal policy in the European Monetary Union," International Finance Discussion Papers 961, Board of Governors of the Federal Reserve System (U.S.).
    12. Tolga Omay & Mubariz Hasanov & Asli Yuksel & Aydin Yuksel, 2016. "A Note on the Examination of the Fisher Hypothesis by Using Panel Co-Integration Tests with Break," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 13-26, June.
    13. Sadorsky, Perry, 2009. "Renewable energy consumption, CO2 emissions and oil prices in the G7 countries," Energy Economics, Elsevier, vol. 31(3), pages 456-462, May.
    14. Chukiat Chaiboonsri & Prasert Chaitip & N. Rangaswamy, 2008. "A Panel Unit Root and Panel Cointegration Test of the Modeling International Tourism Demand in India," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 8(1), pages 95-124.
    15. Apergis, Nicholas & Payne, James E. & Menyah, Kojo & Wolde-Rufael, Yemane, 2010. "On the causal dynamics between emissions, nuclear energy, renewable energy, and economic growth," Ecological Economics, Elsevier, vol. 69(11), pages 2255-2260, September.
    16. Gogas, Periklis & Plakandaras, Vasilios & Papadimitriou, Theophilos, 2014. "Public debt and private consumption in OECD countries," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 1-7.
    17. Mark Holmes & Jesús Otero & Theodore Panagiotidis, 2012. "PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks," Open Economies Review, Springer, vol. 23(5), pages 767-783, November.
    18. Vicente German-Soto & Luis Gutierrez Flores & Hector Alonso Barajas Bustillos, 2017. "An analysis of the relationship between infrastructure investment and economic growth in Mexican urban areas, 1985-2008," Economics Bulletin, AccessEcon, vol. 37(4), pages 2422-2433.
    19. Wagner, Martin, 2008. "The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?," Resource and Energy Economics, Elsevier, vol. 30(3), pages 388-408, August.
    20. Song, Yuegang & Huang, Ruixian & Paramati, Sudharshan Reddy & Zakari, Abdulrasheed, 2021. "Does economic integration lead to financial market integration in the Asian region?," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 366-377.

    More about this item

    Keywords

    Normality testing; Finite sample; Size distortion;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:113:y:2011:i:2:p:199-201. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.