2013
DOI: 10.12988/ijcms.2013.39106
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A modification of the Jarque-Bera test for normality

Abstract: In regression analysis, many statistical tests have been proposed to find out whether the error term is normally distributed or not. These statistical tests are typically constructed using OLS residuals. However, since diagnostic tests for normality are very sensitive to outliers, they have a zero breakdown value. In this paper, we attempt to investigate the effects of using residuals from robust regression replacing OLS residuals in test statistics for normality. We study a modified Jarque-Bera test statistic… Show more

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