Publication: The Robust Jarque-Bera Test
All || By Area || By Year| Title | The Robust Jarque-Bera Test | Authors/Editors* | Gel Yulia and Gastwirth Joseph |
|---|---|
| Where published* | Economics Letters |
| How published* | Journal |
| Year* | 2008 |
| Volume | -1 |
| Number | -1 |
| Pages | |
| Publisher | |
| Keywords | Goodness-of-fit tests; Test of normality; Robust estimators of scale; Jarque-Bera test; Skewness; Kurtosis |
| Link | doi:10.1016/j.econlet.2007.05.022 |
| Abstract |
In this paper we propose a new robust Jarque-Bera (RJB) test utilizing a robust measure of scale in the denominators of the sample skewness and kurtosis in the Jarque-Bera statistic. Like the JB test statistic, RJB has an asymptotic $\chi^2$-distribution with two degrees of freedom. A simulation study demonstrates that the new RJB test has equal or higher power than the JB test for several common alternatives to normality, with the exception of the exponential distribution. |
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