Mantalos, Panagiotis - In: International Journal of Computational Economics and … 2 (2011) 1, pp. 47-62
Monte Carlo methods are used to study the size and the power of three versions of the Jarque and Bera Lagrangian multiplier test for normality, JB(g<SUB align="right"><SMALL>1</SMALL></SUB>, g<SUB align="right"><SMALL>2</SMALL></SUB>), JB(b<SUB align="right"><SMALL>1</SMALL></SUB>, b<SUB align="right"><SMALL>2</SMALL></SUB>) and, finally, JB(k<SUB align="right"><SMALL>1</SMALL></SUB>, k<SUB align="right"><SMALL>2</SMALL></SUB>). The difference between these tests comes from the different definitions (estimates) of sample skewness...</small></sub></small></sub></small></sub></small></sub></small></sub></small></sub>