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Topic: From Sweden, shamefully . . .
Replies: 1   Last Post: Apr 6, 2013 6:08 PM

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Luis A. Afonso

Posts: 4,617
From: LIsbon (Portugal)
Registered: 2/16/05
From Sweden, shamefully . . .
Posted: Apr 6, 2013 3:36 PM
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The paper is called:

Robust Critical Values for the Jarque-bera Test for Normality
Author: PANAGIOTIS MANTALOS

Origin: Jonkoping International Business School
,and can be found at:
hj.se/?d/18.3bf8114412e804c78638000150/WP2010-8.pdf

At two successive pages it can be found:
__mu2(g1)= 6*(n-2)/ [(n+1)*(n+3)] _______________(2.4)
__mu2(g2)= 24*(n-2)*(n-3)/[(n+1)^2*(n+3)*(n+5)]___(2.6)
JB= n* [(g1)^2/ 6 + (g2)^2/ 24]___________________(2.7)
And finally (2.11)
JBM= n*[(g1)^2 /mu2(g1) + (g2-mu1(g2))/(mu2(g2))

Specifically the author didn´t get that (2.7) is incompatible with the well-known Jarque-Bera statistics, ordinarily written.
_________JB= n*[S^2/ 6 + (K-3)^2/ 24],
(a former expression to which JBM intends to be an improvement). In fact (2.4) tends as 6/n and (2.8) as 24/n. The n factor at (2.11) has no place to exist, any chance . . . because the variance of S (skewness) and k (excess kurtosis) do tend asymptotically for 6/n and 24/n respectively, and not for 6 and 24 as he thinks.
The correction is stated here no matter to be easily detectable.

Luis A. Afonso



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