A Normality Test for the Mean Estimator

Michael K. Andersson
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Michael K. Andersson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden

No 310, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This note proposes a tool to investigate and demonstrate the adequacy of the central limit theorem in small samples. The suggested testing procedure provides a method to investigate if the mean estimator is approximately normally distributed, given data and sample size at hand. This is important when deciding upon inference procedure, i.e. is parametric inference possible or do we have to settle for nonparametrics. The procedure is well-suited for teaching in under-graduate statistics classes.

Keywords: Central limit theorem; Bootstrap; Empirical distribution. (search for similar items in EconPapers)
JEL-codes: A22 C12 (search for similar items in EconPapers)
Pages: 6 pages
Date: 1999-02-26
New Economics Papers: this item is included in nep-ecm and nep-ifn
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