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Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test

Author

Listed:
  • Wuertz, Diethelm
  • Katzgraber, Helmut

Abstract

It is well known that the finite-sample null distribution of the Jarque-Bera Lagrange Multiplier (LM) test for normality and its adjusted version (ALM) introduced by Urzua differ considerably from their asymptotic \chi^2(2) limit. Here, we present results from Monte Carlo simulations using 10^7 replications which yield very precise numbers for the LM and ALM statistic over a wide range of critical values and sample sizes. Depending on the sample size and values of the statistic we get p values which signicantly deviate from numbers previously published and used in hypothesis tests in many statistical software packages. The p values listed in this short Letter enable for the first time a precise implementation of the Jarque-Bera LM and ALM tests for finite samples.

Suggested Citation

  • Wuertz, Diethelm & Katzgraber, Helmut, 2009. "Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test," MPRA Paper 19155, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:19155
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    File URL: https://mpra.ub.uni-muenchen.de/19155/1/MPRA_paper_19155.pdf
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    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. 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.
    3. Urzua, Carlos M., 1996. "On the correct use of omnibus tests for normality," Economics Letters, Elsevier, vol. 53(3), pages 247-251, December.
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    Cited by:

    1. Campbell, Cynthia J. & Cowan, Arnold R. & Salotti, Valentina, 2010. "Multi-country event-study methods," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3078-3090, December.

    More about this item

    Keywords

    Jarque-Bera; Lagrange Multiplier;

    JEL classification:

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

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