Wuertz, Diethelm and Katzgraber, Helmut (2009): Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test|
|Keywords:||Jarque-Bera; Lagrange Multiplier|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General|
|Depositing User:||Diethelm Wuertz|
|Date Deposited:||11. Dec 2009 09:23|
|Last Modified:||12. Feb 2013 16:41|
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