An Empirical Likelihood Ratio Test for Normality

Lauren Bin Dong () and David Giles
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Lauren Bin Dong: Statistics Canada

No 401, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: The empirical likelihood ratio (ELR) test for the problem of testing for normality is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using the Monte Carlo simulation technique. The power comparisons against a wide range of alternative distributions show that the ELR test is the most powerful of these tests in certain situations.

Keywords: Empirical likelihood; Monte Carlo simulation; testing for normality; size and power (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2004-02-18
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: ISSN 1485-6441
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicewp:0401

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