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An omnibus test for univariate and multivariate normalit

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  • Jurgen A Doornik
  • Henrik Hansen

Abstract

We suggest a convenient version of the omnibus test for normality, using skewness and kurtosis based on Shenton and Bowman [Journal of the American Statistical Association (1977) Vol. 72, pp. 206–211], which controls well for size, for samples as low as 10 observations. A multivariate version is introduced. Size and power are investigated in comparison with four other tests for multivariate normality. The first power experiments consider the whole skewness–kurtosis plane; the second use a bivariate distribution which has normal marginals. It is concluded that the proposed test has the best size and power properties of the tests considered.
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  • Jurgen A Doornik & Henrik Hansen, "undated". "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
  • Handle: RePEc:nuf:econwp:9604
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    References listed on IDEAS

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    4. Jean-Marie Dufour & Abdeljelil Farhat & Lucien Gardiol & Lynda Khalaf, 1998. "Simulation-based finite sample normality tests in linear regressions," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 154-173.
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    7. Bera, A. & John, S., 1983. "Tests for multivariate normality with Pearson alternatives," LIDAM Reprints CORE 534, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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