Normality Testing- A New Direction

Tanweer Islam

MPRA Paper from University Library of Munich, Germany

Abstract: Abstract This paper is concerned with the evaluation of the performance of the normality tests to ensure the validity of the t-statistics used for assessing significance of regressors in a regression model. For this purpose, we have explored 40 distributions to find the most damaging distribution on the t-statistic. Power comparisons are conducted to find the best performing test against these distributions. It is found that Anderson-Darling statistic is the best option among the five normality tests, Jarque-Bera, Shapiro-Francia, D’Agostino & Pearson, Anderson-Darling & Lilliefors.

Keywords: Normality test; power of the test; t-statistic (search for similar items in EconPapers)
JEL-codes: C01 C12 C15 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:16452

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