A robust modification of the Jarque-Bera test of normality

We propose a new robust Jarque-Bera (RJB) test utilizing a robust measure of variance. The RJB statistic is asymptotically [chi]22-distributed and has equal or higher power than the JB test for several common alternatives to normality.

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Year of publication:	2008
Authors:	Gel, Yulia R. ; Gastwirth, Joseph L.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 1, p. 30-32
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005296800