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|Title:||Finite-sample Quantiles of The Jarque-Bera Test|
|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|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
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