Simulation-Based Finite-Sample Normality Tests in Linear Regressions

Jean-Marie Dufour (), Abdeljelil Farhat () and Lucien Gardiol

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the location-scale model; hence reliance on available significance points in the context of regression models may cause size distortions. We propose a general solution to the problem of controlling the size normality tests for the disturbances of standard linear regression, which is based on using the technique of Monte Carlo tests.

JEL-codes: C10 C15 C52 (search for similar items in EconPapers)
Pages: 20 pages
Date: 1998
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Citations: View citations in EconPapers (51)

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Journal Article: Simulation-based finite sample normality tests in linear regressions (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:9811

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