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

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 repli...

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Bibliographic Details
Main Authors Wuertz, Diethelm, Katzgraber, Helmut G
Format Journal Article
LanguageEnglish
Published 19.09.2005
Subjects
Mathematics - Probability
Mathematics - Statistics Theory
Statistics - Theory
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Summary: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. This enables a precise implementation of the Jarque-Bera LM and ALM test for finite samples.
DOI:10.48550/arxiv.math/0509423