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Finite-sample quantiles of the Jarque-Bera test

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  • STEVE LAWFORD

Abstract

The finite-sample null distribution of the Jarque-Bera Lagrange multiplier test for normality differs considerably from the asymptotic X2 (2). However, asymptotic critical values are commonly used in applied work, even for relatively small sample sizes. Here, we develop very accurate response surface approximations for the 10% and 5% critical values of the test, which enable correct practical implementation.

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  • Steve Lawford, 2004. "Finite-sample quantiles of the Jarque-Bera test," Economics and Finance Discussion Papers 04-03, Economics and Finance Section, School of Social Sciences, Brunel University.
    • Handle: RePEc:bru:bruedp:04-03
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    Cited by:

    1. Graham Smith, 2008. "Liquidity And The Informational Efficiency Of African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 76(2), pages 161-175, June.
    2. Yong Bao, 2013. "On Sample Skewness and Kurtosis," Econometric Reviews, Taylor & Francis Journals, vol. 32(4), pages 415-448, December.

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