An Empirical Likelihood Ratio Test for Normality
The empirical likelihood ratio (ELR) test for the problem of testing for normality is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using the Monte Carlo simulation technique. The power comparisons against a wide range of alternative distributions show that the ELR test is the most powerful of these tests in certain situations.
|Date of creation:||18 Feb 2004|
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- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995.
"Information Theoretic Approaches to Inference in Moment Condition Models,"
Harvard Institute of Economic Research Working Papers
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- Mittelhammer, Ron C & Judge, George G. & Schoenberg, Ron, 2003.
"Empirical Evidence Concerning the Finite Sample Performance of EL-Type Structural Equation Estimation and Inference Methods,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt2xm0n02g, Department of Agricultural & Resource Economics, UC Berkeley.
- Mittelhammer, Ronald C. & Judge, George G. & Schoenberg, Ron, 2003. "Empirical evidence concerning the finite sample performance of El-type structural equation estimation and inference methods," CUDARE Working Paper Series 945, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
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