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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
Appears in Collections:Dept of Economics and Finance Research Papers

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