Using OLS to test for normality

The OLS estimator is a weighted average of the slopes delineated by adjacent observations. These weights depend only on the independent variable. Equal weights are obtained if and only if the independent variable is normally distributed. This feature is used to develop a new test for normality which is compared to standard tests and provides better power for testing normality.

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Year of publication:	2012
Authors:	Shalit, Haim
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 11, p. 2050-2058
Publisher:	Elsevier
Subject:	Regression weights \| Shapiro–Wilk test \| Jarque–Bera test \| Kolmogorov–Smirnov test

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

Persistent link: https://www.econbiz.de/10010593889