A robust test for multivariate normality

Kristian Jönsson

Economics Letters, 2011, vol. 113, issue 2, 199-201

Abstract: The size of the Jarque–Bera test for multivariate normality can be severely distorted in small samples. An alternative test procedure, that turns out to have good size and power properties, is suggested.

Keywords: Normality testing; Finite sample; Size distortion (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:113:y:2011:i:2:p:199-201

DOI: 10.1016/j.econlet.2011.06.018

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