Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test

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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.
7 pages, 3x2 figures, 1 table

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Statistics Theory, Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/130895

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0509423
 http://arxiv.org/abs/math/0509423

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arXiv