Wuertz, Diethelm; Katzgraber, Helmut - Volkswirtschaftliche Fakultät, … - 2009
It is well known that the finite-sample null distribution of the Jarque-Bera Lagrange Multiplier (LM) test for normality and its adjusted version (ALM) introduced by Urzua differ considerably from their asymptotic \chi^2(2) limit. Here, we present results from Monte Carlo simulations using 10^7...