Using OLS to test for normality

Haim Shalit

Statistics & Probability Letters, 2012, vol. 82, issue 11, 2050-2058

Abstract: The OLS estimator is a weighted average of the slopes delineated by adjacent observations. These weights depend only on the independent variable. Equal weights are obtained if and only if the independent variable is normally distributed. This feature is used to develop a new test for normality which is compared to standard tests and provides better power for testing normality.

Keywords: Regression weights; Shapiro–Wilk test; Jarque–Bera test; Kolmogorov–Smirnov test (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: USING OLS TO TEST FOR NORMALITY (2009)
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DOI: 10.1016/j.spl.2012.07.004

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