| JarqueBera.test {fastmatrix} | R Documentation |
Jarque-Bera test for univariate normality
Description
Performs an omnibus test for univariate normality.
Usage
JarqueBera.test(x, test = "DH")
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). |
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. |
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