Testing for Non-Normality in the Presence of One-Sided Slope Parameters

Anthony W. Hughes
Additional contact information
Anthony W. Hughes: School of Economics, University of Adelaide

No 2000-01, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: In a recent paper, Hughes (1999) showed that the power of tests of linear regression parameters could be improved by utilizing one-sided information regarding the nuisance parameters in the testing problem. In this paper, we extend this principle to the problem of diagnosing departures from the assumption of normality in linear regression residuals. We show that the asymptotic theory of the popular normality test developed by Jarque and Bera (1987) is also applicable when inequality constraints are imposed on the slope parameters. Monte Carlo evidence is then presented which suggests that the size of tests based on inequality constrained residuals is roughly equivalent to the size of tests based on unconstrained residuals using both asymptotic and bootstrap critical values. We then demonstrate that significant improvements in the power of the Jarque-Bera test can be made via the application of one-sided information concerning the slope parameters in the model.

Keywords: Jarque-Bera test; inequality constraints; power; bootstrap; Monte Carlo simulations (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://media.adelaide.edu.au/economics/papers/doc/wp2000-01.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adl:wpaper:2000-01

Access Statistics for this paper

More papers in School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy Contact information at EDIRC.
Bibliographic data for series maintained by Qazi Haque ().