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Topic: Jarque-Bera: a disastrous test
Replies: 3   Last Post: Feb 26, 2013 7:39 AM

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Luis A. Afonso

Posts: 4,743
From: LIsbon (Portugal)
Registered: 2/16/05
Jarque-Bera: a disastrous test
Posted: Aug 24, 2012 12:03 PM
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Jarque-Bera: a disastrous test

I repeatability advised here that the so-called Jarque-Bera test of normality does not fulfill the expected requirements a test must obey, namely it skips completely the p-values skewness and kurtosis knowledge. In fact, it deals with a two parameter?s sum and consequently an abnormal high of one of them can be hidden by a sufficiently low of the other in order that the sum is not rejected. So we *accept* normality when it must be rejected by the commonly asserted standards, the test ignores.
What absolutely amazing is this fatal feature passed undetected (as far as I know) since early 80´s, and, notwithstanding the error, being heavily used by economists till today.

Luis A. Afonso

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