An Empirical Likelihood Ratio Test for Normality in Linear Regression

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

No 402, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: The empirical likelihood ratio (ELR) test for the problem of testing for normality in a linear regression modell is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using Monte Carlo simulation. The ELR test has good power properties against various alternative hypotheses.

Keywords: Regression residual; Empirical likelihood ratio; Monte Carlo simulation; Normality (search for similar items in EconPapers)
JEL-codes: C12 C15 C16 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2004-04-08
New Economics Papers: this item is included in nep-ecm
Note: ISSN 1485-6441
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:vic:vicewp:0402

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