Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test Academic Article uri icon

abstract

  • 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.

author list (cited authors)

  • Wuertz, D., & Katzgraber, H. G.

publication date

  • January 1, 2005 11:11 AM