fastmatrix (version 0.5-7721)

JarqueBera.test: Jarque-Bera test for univariate normality

Description

Performs an omnibus test for univariate normality.

Usage

JarqueBera.test(x, test = "DH")

Value

A list of class 'JarqueBera.test' with the following elements:

statistic

value of the statistic, i.e. the value of either Doornik-Hansen, Jarque-Bera, or Adjusted Lagrange multiplier test.

parameter

the degrees of freedom for the test statistic, which is chi-square distributed.

p.value

the p-value for the test.

skewness

the estimated skewness coefficient.

kurtosis

the estimated kurtosis coefficient.

method

a character string indicating what type of test was performed.

Arguments

x

a numeric vector containing the sample observations.

test

test statistic to be used. One of "DH" (Doornik-Hansen, the default), "JB" (Jarque-Bera), "robust" (robust modification by Gel and Gastwirth), "ALM" (Adjusted Lagrange multiplier).

References

Doornik, J.A., Hansen, H. (2008). An omnibus test for univariate and multivariate normality. Oxford Bulletin of Economics and Statistics 70, 927-939.

Gel, Y.R., Gastwirth, J.L. (2008). A robust modification of the Jarque-Bera test of normality. Economics Letters 99, 30-32.

Jarque, C.M., Bera, A.K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters 6, 255-259.

Urzua, C.M. (1996). On the correct use of omnibus tests for normality. Economics Letters 53, 247-251.

Examples

set.seed(149)
x <- rnorm(100)
z <- JarqueBera.test(x, test = "DH")
z

set.seed(173)
x <- runif(100)
z <- JarqueBera.test(x, test = "DH")
z