An Omnibus Test for Univariate and Multivariate Normality
Jurgen Doornik and
Henrik Hansen ()
Oxford Bulletin of Economics and Statistics, 2008, vol. 70, issue s1, pages 927-939
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. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2008.
References: Add references at CitEc
Citations View citations in EconPapers (73) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0084.2008.00537.x link to full text (text/html)
Access to full text is restricted to subscribers.
Working Paper: An omnibus test for univariate and multivariate normalit
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:bla:obuest:v:70:y:2008:i:s1:p:927-939
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049
Access Statistics for this article
Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple
More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().