Finite-sample quantiles of the Jarque-Bera test

The finite-sample null distribution of the Jarque-Bera Lagrange multiplier test for normality differs considerably from the asymptotic X2 (2). However, asymptotic critical values are commonly used in applied work, even for relatively small sample sizes. Here, we develop very accurate response surface approximations for the 10% and 5% critical values of the test, which enable correct practical implementation.

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Year of publication:	2004-02
Authors:	LAWFORD, STEVE
Institutions:	Economics and Finance Section, School of Social Sciences, Brunel University

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Extent:	application/pdf
Series:	Economics and Finance Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	7 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005761376