Date: Jan 1, 2013 8:38 AM
Author: Luis A. Afonso
Subject: Re: The J-B test again (and again. . . )

Jarque-Bera, the false gof test . . .



J-B intends to check if a sample is compatible with the normal distribution trough the Skewness and excess Kurtosis. However it assures a very different thing: that the sum of these parameters (after reduction) is compatible with those the normal data exhibits. Each parameter?s estimate is free to vary even it reaches an absurdly high or low value and nevertheless H0 be not rejected: enough the other compensates in order the sum be conformable.

Luis A. Afonso