Mathematics – Statistics Theory
Scientific paper
2005-09-19
Mathematics
Statistics Theory
7 pages, 3x2 figures, 1 table
Scientific paper
It is well known that the finite-sample null distribution of the Jarque-Bera Lagrange Multiplier (LM) test for normality and its adjusted version (ALM) introduced by Urzua differ considerably from their asymptotic chi^2(2) limit. Here, we present results from Monte Carlo simulations using 10^7 replications which yield very precise numbers for the LM and ALM statistic over a wide range of critical values and sample sizes. This enables a precise implementation of the Jarque-Bera LM and ALM test for finite samples.
Katzgraber Helmut G.
Wuertz Diethelm
No associations
LandOfFree
Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-298348