Robust Critical Values For The Jarque-Bera Test For Normality
We introduce the “sample” technique to generate robust critical values for the Jarque and Bera (JB) Lagrangian Multiplier (LM) test for normality, JBCV( 1 2 k ,k ), by using improved critical values the true size of the test approaches its nominal value. Monte Carlo methods are used to study the size, and the power of the JB normality test with the “sample” critical values and compare with three alternatives to the Jarque and Bera LM test for normality: the Urzúa (1996) modification of the Jarque- Bera test, JBM; the Omnibus K2 statistic made by D’Agostino, Belanger and D’Agostino (1990), JBK; and finally the, Jarque and Bera LM test for normality by using the quantities 1 k and 2 k are the definitions of sample skewness and kurtosis JB( 1 2 k ,k ). The JBCV( 1 2 k ,k ), shows superiority as it has the right size for all samples, small, medium and large, and at the same time has the higher power.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||17 Nov 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.jibs.hj.se/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:hhb:hjacfi:2010_008. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Susanne Hansson)or (Stefan Carlstein) The email address of this maintainer does not seem to be valid anymore. Please ask Stefan Carlstein to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.