Gel, Yulia R.; Gastwirth, Joseph L. - In: Economics Letters 99 (2008) 1, pp. 30-32
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.
