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- W2214892403 abstract "In this paper, a short background of the Jarque and McKenzie (1M) test for nonnormality is given, and the small sample properties of the test is examined in view of robustness, size and power. The investigation has been performed using Monte Carlo simulations where factors like, e.g., the number of equations, nominal sizes, degrees of freedom, have been varied. Generally, the 1M test has shown to have good power properties. The estimated size due to the asymptotic distribution is not very encouraging though. The slow rate of convergence to its asymptotic distribution suggests that empirical critical values should be used in small samples. In addition, the experiment shows that the properties of the 1M test may be disastrous when the disturbances are autocorrelated. Moreover, the simulations show that the distribution of the regressors may also have a substantial impact on the test, and that homogenised OLS residuals should be used when testing for non-normality in small samples." @default.
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- W2214892403 date "2002-01-25" @default.
- W2214892403 modified "2023-09-28" @default.
- W2214892403 title "ASSESSING MULTIVARIATE NORMALITY" @default.
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- W2214892403 doi "https://doi.org/10.1201/9780203910894-10" @default.
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