An Empirical Likelihood Ratio Test for Normality

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.

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Year of publication:	2004-02-18
Authors:	Dong, Lauren Bin ; Giles, David E. A.
Institutions:	Department of Economics, University of Victoria
Subject:	Empirical likelihood \| Monte Carlo simulation \| testing for normality \| size and power

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Extent:	application/pdf
Series:	Econometrics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	ISSN 1485-6441 Number 0401 31 pages
Classification:	C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005750314