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A Normality Test for the Mean Estimator

Author

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  • Andersson, Michael K.

    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

This note proposes a tool to investigate and demonstrate the adequacy of the central limit theorem in small samples. The suggested testing procedure provides a method to investigate if the mean estimator is approximately normally distributed, given data and sample size at hand. This is important when deciding upon inference procedure, i.e. is parametric inference possible or do we have to settle for nonparametrics. The procedure is well-suited for teaching in under-graduate statistics classes.

Suggested Citation

  • Andersson, Michael K., 1999. "A Normality Test for the Mean Estimator," SSE/EFI Working Paper Series in Economics and Finance 310, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0310
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    More about this item

    Keywords

    Central limit theorem; Bootstrap; Empirical distribution.;
    All these keywords.

    JEL classification:

    • A22 - General Economics and Teaching - - Economic Education and Teaching of Economics - - - Undergraduate
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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