Finite-sample quantiles of the Jarque-Bera test

Steve Lawford

Applied Economics Letters, 2005, vol. 12, issue 6, 351-354

Abstract: The finite-sample null distribution of the Jarque-Bera Lagrange multiplier test for normality differs considerably from the asymptotic χ2(2). However, asymptotic critical values are commonly used in applied work, even for relatively small sample sizes. Here, very accurate response surface approximations are developed for the 10% and 5% critical values of the test, which enable correct practical implementation.

Date: 2005
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Working Paper: Finite-sample quantiles of the Jarque-Bera test (2004)
Working Paper: Finite-sample quantiles of the Jarque-Bera test (2004)
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DOI: 10.1080/1350485042000338653

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