Monte Carlo methods are used to study the size and the power of three versions of the Jarque and Bera LM test for normality, JB( 1 2 g , g ), JB( 1 2 b ,b ), and finally JB( 1 2 k ,k ). The difference between these tests comes from the different definitions (estimates) of sample skewness and...

We introduce the “sample” technique to generate robust critical values for the Jarque and Bera (JB) Lagrangian Multiplier (LM) test for normality, JBCV( 1 2 k ,k ), by using improved critical values the true size of the test approaches its nominal value. Monte Carlo methods are used to study...