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Comparison of power of modified Jarque-Bera normality tests and selected tests of normality
[Srovnání síly modifikovaných Jarque-Bera testů a vybraných testů normality]

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  • Luboš Střelec

    (Ústav statistiky a operačního výzkumu, Mendelova zemědělská a lesnická univerzita v Brně, Zemědělská 1, 613 00 Brno, Česká republika)

Abstract

The aim of this paper is to modify the classical Jarque-Bera test and the robust Jarque-Bera test of normality. We use the median as an estimator instead of the mean in the classical Jarque-Bera test and in the robust Jarque-Bera test. This leads to the modified Jarque-Bera test and the modified robust Jarque-Bera test. Paper also demonstrates results of simulation studies of power of such tests with the various alternatives - light tailed alternatives as exponential, lognormal and gamma distribution, heavy tailed alternatives as Cauchy, Laplace, t3, t5 and logistic distributions and short tailed alternatives as beta and uniform distributions. These tests of normality are also used for normality testing of selected datasets of financial time series. Source data include logarithmic returns of monthly average prices of Prague stock exchange index PX and monthly average prices of CZK/EUR exchange rate in the period from 2000 to 2007.

Suggested Citation

  • Luboš Střelec, 2008. "Comparison of power of modified Jarque-Bera normality tests and selected tests of normality [Srovnání síly modifikovaných Jarque-Bera testů a vybraných testů normality]," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 56(6), pages 137-148.
    • Handle: RePEc:mup:actaun:actaun_2008056060137
    DOI: 10.11118/actaun200856060137
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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. 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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