Comparison of power of modified Jarque-Bera normality tests and selected tests of normality

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Luboš Střelec¹ 

[1] Ústav statistiky a operačního výzkumu, Mendelova zemědělská a lesnická univerzita v Brně, Zemědělská 1, 613 00 Brno, Česká republika;

关键词: tests of normality;    Monte Carlo simulation;    power comparison;    financial time series;    logarithmic returns;   

DOI  :  10.11118/actaun200856060137

来源: DOAJ

【 摘 要 】

The aim of this paper is to modify the classical Jarque-Bera test and the robust Jarque-Bera test of normality. We use the median as an estimator instead of the mean in the classical Jarque-Bera test and in the robust Jarque-Bera test. This leads to the modified Jarque-Bera test and the modified robust Jarque-Bera test. Paper also demonstrates results of simulation studies of power of such tests with the various alternatives – light tailed alternatives as exponential, lognormal and gamma distribution, heavy tailed alternatives as Cauchy, Laplace, t3, t5 and logistic distributions and short tailed alternatives as beta and uniform distributions. These tests of normality are also used for normality testing of selected datasets of financial time series. Source data include logarithmic returns of monthly ave­ra­ge prices of Prague stock exchange index PX and monthly average prices of CZK/EUR exchange rate in the period from 2000 to 2007.

【 授权许可】

Unknown