Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/963| 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 |
| URI: | http://bura.brunel.ac.uk/handle/2438/963 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.