Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/3782
Title: Finite-sample Quantiles of The Jarque-Bera Test
Authors: Lawford, S
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
Description: http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps
URI: http://bura.brunel.ac.uk/handle/2438/3782
Appears in Collections:Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
04-03.pdf162.97 kBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.