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Title: | Finite-sample Quantiles of The Jarque-Bera Test |
Authors: | Lawford, S |
Keywords: | Finite-sample critical values; Jarque-Bera test; Monte Carlo;simulation; Normality; Response surfaces. |
Issue Date: | 2004 |
Publisher: | Brunel University |
Citation: | Economics and Finance Working papers, Brunel University, 04-03 |
Abstract: | The nite-sample null distribution of the Jarque-Bera Lagrange multiplier test for normality di¤ers considerably from the asymptotic 2 (2). However, asymptotic critical values are commonly used in ap- plied 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 |
URI: | http://bura.brunel.ac.uk/handle/2438/963 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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