Scandinavian Working Papers in Business Administration
JIBS Working Papers,
Jönköping International Business School
No 2010-9: Three Different Measures of Sample Skewness and Kurtosis and their Effects on the Jarque-Bera Test for Normality
Panagiotis Mantalos ()
Additional contact information
Panagiotis Mantalos: Jönköping International Business School, Postal: JIBS, P.O.Box 1026, SE-551 11 Jönköping
Abstract: Monte Carlo methods are used to study the size and the power of three versions of the Jarque and Bera LM test for normality, JB( 1 2 g , g ), JB( 1 2 b ,b ), and finally JB( 1 2 k ,k ). The difference between these tests comes from the different definitions (estimates) of sample skewness and kurtosis. The Jarque and Bera test has rather poor small sample properties: the slow convergence of the test statistic to its limiting distribution makes the test over-sized for small nominal level and under-sized for larger than 3% levels even in a reasonably large sample. However the JB( 1 2 k ,k ) for a 5% nominal level shows good properties for all samples. The power of the tests shows the same erratic form.
Keywords: Jarque and Bera LM test; Kurtosis; skewness; Test for normality
20 pages, November 17, 2010
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