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.
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Harvard Institute of Economic Research Working Papers
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Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt2xm0n02g, Department of Agricultural & Resource Economics, UC Berkeley.
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