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