Finite-sample Quantiles of The Jarque-Bera Test

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DC Field	Value	Language
dc.contributor.author	Lawford, S	-
dc.date.accessioned	2009-10-27T14:54:20Z	-
dc.date.available	2009-10-27T14:54:20Z	-
dc.date.issued	2004	-
dc.identifier.citation	Economics and Finance Working papers, Brunel University, 04-03	en
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/3782	-
dc.description	http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps	en
dc.description.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	en
dc.language.iso	en	en
dc.publisher	Brunel University	en
dc.title	Finite-sample Quantiles of The Jarque-Bera Test	en
dc.type	Article	en
Appears in Collections:	Dept of Economics and Finance Research Papers

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