Three Different Measures of Sample Skewness and Kurtosis and their Effects on the Jarque-Bera Test for Normality
Panagiotis Mantalos
No 2010-9, JIBS Working Papers from Jönköping International Business School
Abstract:
Monte Carlo methods are used to study the size and the power of three versions of the Jarque and Bera LM test for normality, JB( 1 2 g , g ), JB( 1 2 b ,b ), and finally JB( 1 2 k ,k ). The difference between these tests comes from the different definitions (estimates) of sample skewness and kurtosis. The Jarque and Bera test has rather poor small sample properties: the slow convergence of the test statistic to its limiting distribution makes the test over-sized for small nominal level and under-sized for larger than 3% levels even in a reasonably large sample. However the JB( 1 2 k ,k ) for a 5% nominal level shows good properties for all samples. The power of the tests shows the same erratic form.
Keywords: Jarque and Bera LM test; Kurtosis; skewness; Test for normality (search for similar items in EconPapers)
Pages: 20 pages
Date: 2010-11-17
References: Add references at CitEc
Citations:
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
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:hhb:hjacfi:2010_009
Access Statistics for this paper
More papers in JIBS Working Papers from Jönköping International Business School Jönköping International Business School, P.O. Box 1026, SE-551 11 Jönköping, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Susanne Hansson ( this e-mail address is bad, please contact ) and Stefan Carlstein ( this e-mail address is bad, please contact ).