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arxiv: math/0509423 · v1 · submitted 2005-09-19 · 🧮 math.ST · math.PR· stat.TH

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

classification 🧮 math.ST math.PRstat.TH
keywords jarque-beraprecisetestadjustedfinite-samplelagrangemultiplierasymptotic
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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.

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