Finite-sample Quantiles of The Jarque-Bera Test

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/963

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DC Field	Value	Language
dc.contributor.author	Lawford, S	-
dc.coverage.spatial	7	en
dc.date.accessioned	2007-07-05T15:21:34Z	-
dc.date.available	2007-07-05T15:21:34Z	-
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/2438/963	-
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.format.extent	166886 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	-
dc.publisher	Brunel University	en
dc.subject	Finite-sample critical values; Jarque-Bera test; Monte Carlo	en
dc.subject	simulation; Normality; Response surfaces.	en
dc.title	Finite-sample Quantiles of The Jarque-Bera Test	en
dc.type	Research Paper	en
Appears in Collections:	Dept of Economics and Finance Research Papers

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