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A robust modification of the Jarque-Bera test of normality

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  • Gel, Yulia R.
  • Gastwirth, Joseph L.

Abstract

We propose a new robust Jarque-Bera (RJB) test utilizing a robust measure of variance. The RJB statistic is asymptotically [chi]22-distributed and has equal or higher power than the JB test for several common alternatives to normality.

Suggested Citation

  • Gel, Yulia R. & Gastwirth, Joseph L., 2008. "A robust modification of the Jarque-Bera test of normality," Economics Letters, Elsevier, vol. 99(1), pages 30-32, April.
    • Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:30-32
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    References listed on IDEAS

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    1. Gel, Yulia R. & Miao, Weiwen & Gastwirth, Joseph L., 2007. "Robust directed tests of normality against heavy-tailed alternatives," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2734-2746, February.
    2. Thorsten Thadewald & Herbert Buning, 2007. "Jarque-Bera Test and its Competitors for Testing Normality - A Power Comparison," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(1), pages 87-105.
    3. 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.
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    5. Hui, Wallace & Gel, Yulia R. & Gastwirth, Joseph L., 2008. "lawstat: An R Package for Law, Public Policy and Biostatistics," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 28(i03).
    6. Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
    7. Mohamed Boutahar, 2010. "Behaviour of skewness, kurtosis and normality tests in long memory data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(2), pages 193-215, June.
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    15. Shalit, Haim, 2012. "Using OLS to test for normality," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 2050-2058.
    16. Geoffrey Ngene & Kenneth A. Tah & Ali F. Darrat, 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 61-73, September.
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    18. Jean-Baptiste MICHAU, 2019. "Helicopter Drops of Money under Secular Stagnation," Working Papers 2019-10, Center for Research in Economics and Statistics.
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    20. Charalampos Basdekis & Apostolos Christopoulos & Alexandros Gkolfinopoulos & Ioannis Katsampoxakis, 2022. "VaR as a risk management framework for the spot and futures tanker markets," Operational Research, Springer, vol. 22(4), pages 4287-4352, September.
    21. Kim, Namhyun, 2016. "A robustified Jarque–Bera test for multivariate normality," Economics Letters, Elsevier, vol. 140(C), pages 48-52.
    22. Gel, Yulia R., 2010. "Test of fit for a Laplace distribution against heavier tailed alternatives," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 958-965, April.
    23. Tsai, Arthur C. & Liou, Michelle & Simak, Maria & Cheng, Philip E., 2017. "On hyperbolic transformations to normality," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 250-266.
    24. Zouhaier Dhifaoui, 2021. "Robustness of Detrended Cross-correlation Analysis Method Under Outliers Observations," Working Papers hal-03411380, HAL.

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