Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test
Statistics Theory
2007-06-13 v1 Probability
Statistics Theory
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. This enables a precise implementation of the Jarque-Bera LM and ALM test for finite samples.
Cite
@article{arxiv.math/0509423,
title = {Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test},
author = {Diethelm Wuertz and Helmut G. Katzgraber},
journal= {arXiv preprint arXiv:math/0509423},
year = {2007}
}
Comments
7 pages, 3x2 figures, 1 table