Please use this identifier to cite or link to this item:
|Title:||Finite-sample Quantiles of The Jarque-Bera Test|
|Keywords:||Finite-sample critical values; Jarque-Bera test; Monte Carlo;simulation; Normality; Response surfaces.|
|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|
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.