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Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test

Wuertz, Diethelm and Katzgraber, Helmut (2009): Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test.

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Abstract

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. Depending on the sample size and values of the statistic we get p values which signicantly deviate from numbers previously published and used in hypothesis tests in many statistical software packages. The p values listed in this short Letter enable for the first time a precise implementation of the Jarque-Bera LM and ALM tests for finite samples.

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