Jarque-Bera test?

classic Classic list List threaded Threaded
4 messages Options
Reply | Threaded
Open this post in threaded view
|

Jarque-Bera test?

Baglioni, Tony

A student just asked me about the Jarque-Bera test which assesses the normality of a distribution.  I’ve never heard of it.  Does anyone have any information on this?

TIA

 

A J Baglioni jr

Associate Professor

McIntire School of Commerce

University of Virginia

Rouss & Robertson Halls, East Lawn

P.O. Box 400173

Charlottesville, Va  22904-4173

434.924.4961

 

===================== To manage your subscription to SPSSX-L, send a message to [hidden email] (not to SPSSX-L), with no body text except the command. To leave the list, send the command SIGNOFF SPSSX-L For a list of commands to manage subscriptions, send the command INFO REFCARD
Reply | Threaded
Open this post in threaded view
|

Re: Jarque-Bera test?

Mike
It is a test of normality that uses information from skew and kurtosis in
determining whether a sample of values follows a normal distribution
either in classical test terms or in terms of regression residuals. A
search of scholar.google.com turns up many articles on it.  May I
suggest the following:
 
Thadewald, T., & Büning, H. (2007). Jarque–Bera test and its
competitors for testing normality–a power comparison. Journal
of Applied Statistics, 34(1), 87-105.
 
The publisher's website is here:
The article is behind a paywall but you may be able to get a pre-publication
version of the article here:
 
This article provides the equation used for the JB test and other, perhaps
more familiar tests.  NOTE: it appears that in the last decade there has
been some work on making the test more robust (it doesn't work well
in certain situations which the article identifies), so you might want to
see what the thinking is about the test in the last 5 years -- again scholar.google.com
can help.  Others may suggest other sources.
 
-Mike Palij
New York University
 
 
 
----- Original Message -----
Sent: Thursday, February 12, 2015 10:42 AM
Subject: Jarque-Bera test?

A student just asked me about the Jarque-Bera test which assesses the normality of a distribution.  I’ve never heard of it.  Does anyone have any information on this?

TIA

 

A J Baglioni jr

Associate Professor

McIntire School of Commerce

University of Virginia

Rouss & Robertson Halls, East Lawn

P.O. Box 400173

Charlottesville, Va  22904-4173

434.924.4961

 

===================== To manage your subscription to SPSSX-L, send a message to [hidden email] (not to SPSSX-L), with no body text except the command. To leave the list, send the command SIGNOFF SPSSX-L For a list of commands to manage subscriptions, send the command INFO REFCARD
===================== To manage your subscription to SPSSX-L, send a message to [hidden email] (not to SPSSX-L), with no body text except the command. To leave the list, send the command SIGNOFF SPSSX-L For a list of commands to manage subscriptions, send the command INFO REFCARD
Reply | Threaded
Open this post in threaded view
|

Re: Jarque-Bera test?

David Marso
Administrator
In reply to this post by Baglioni, Tony
Perhaps search this group as well as Mike's suggestions?
http://spssx-discussion.1045642.n5.nabble.com/template/NamlServlet.jtp?macro=search_page&node=1068821&query=Jarque-Bera+&n=1068821
Please reply to the list and not to my personal email.
Those desiring my consulting or training services please feel free to email me.
---
"Nolite dare sanctum canibus neque mittatis margaritas vestras ante porcos ne forte conculcent eas pedibus suis."
Cum es damnatorum possederunt porcos iens ut salire off sanguinum cliff in abyssum?"
Reply | Threaded
Open this post in threaded view
|

Re: Jarque-Bera test?

Rich Ulrich
In reply to this post by Baglioni, Tony
Point your student to the Wikipedia article by that name.  Among other things, it says,

  "In MATLAB's implementation, the chi-squared approximation for the JB statistic's distribution is only used for large sample sizes (> 2000). For smaller samples, it uses a table derived from Monte Carlo simulations n order to interpolate p-values."

--
Rich Ulrich


Date: Thu, 12 Feb 2015 15:42:18 +0000
From: [hidden email]
Subject: Jarque-Bera test?
To: [hidden email]

A student just asked me about the Jarque-Bera test which assesses the normality of a distribution.  I’ve never heard of it.  Does anyone have any information on this?

TIA

 

===================== To manage your subscription to SPSSX-L, send a message to [hidden email] (not to SPSSX-L), with no body text except the command. To leave the list, send the command SIGNOFF SPSSX-L For a list of commands to manage subscriptions, send the command INFO REFCARD