Three different measures of sample skewness and kurtosis and their effects on the Jarque?Bera test for normality. (8th June 2011)

• Record Type: Journal Article
• Authors: Mantalos, Panagiotis
• Is Part Of: International journal of computational economics and econometrics. Volume 2:Number 1(2011)
• Page Start: 47
• Page End: 62
• Publication Date: 2011-06-08
• Subjects: Jarque and Bera -- Lagrangian multiplier test -- kurtosis -- sample skewness -- test for normality -- sampling -- Monte Carlo methods; Econometrics -- Periodicals; Economics -- Data processing -- Periodicals; 330.01519505
• Languages: English
• ISSNs: 1757-1170

Abstract

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(g1, g2 ), JB(b1, b2 ) and, finally, JB(k1, k2 ). The difference between these tests comes from the different definitions (estimates) of sample skewness and kurtosis. The Jarque and Bera test has rather poor small sample properties: the slow convergence of the test statistic to its limiting distribution makes the test oversized for small nominal level and undersized for larger than 3% levels even in a reasonably large sample. However, the JB(k1, k2 ) for a 5% nominal level shows good properties for all samples. The power of the tests shows the same erratic form.