Corpus ID: 472097

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

@inproceedings{Wrtz2005PreciseFQ,
  title={Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test},
  author={Diethelm W{\"u}rtz and Helmut G. Katzgraber},
  year={2005}
}
  • Diethelm Würtz, Helmut G. Katzgraber
  • Published 2005
  • Mathematics
  • 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. Depending on the sample size and values of the statistic we get p values… CONTINUE READING

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