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Tests for normality based on the quantile-mean covariance

Javier Alejo (), Anil Bera (), Antonio Galvao (), Gabriel Montes-Rojas () and Zhijie Xiao
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Anil Bera: University of Illinois at Urbana–Champaign
Antonio Galvao: University of Iowa

Stata Journal, 2016, vol. 16, issue 4, 1039-1057

Abstract: We present a new command, qctest, to implement tests for normality of a random variable based on the quantile-mean covariance. The test procedures are based on recent results by Bera et al. (2016, Econometric Theory 32: 1216– 1252) and are an efficient alternative to existing normality tests in the literature. Copyright 2016 by StataCorp LP.

Keywords: qctest; skewness; kurtosis; normality (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:tsj:stataj:v:16:y:2016:i:4:p:1039-1057