The Math Forum

Search All of the Math Forum:

Views expressed in these public forums are not endorsed by NCTM or The Math Forum.

Math Forum » Discussions » sci.math.* » sci.stat.math

Notice: We are no longer accepting new posts, but the forums will continue to be readable.

Topic: ALM - Jarque-Bera test
Replies: 0  

Advanced Search

Back to Topic List Back to Topic List  
Luis A. Afonso

Posts: 4,758
From: LIsbon (Portugal)
Registered: 2/16/05
ALM - Jarque-Bera test
Posted: Jun 6, 2013 5:33 PM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

An error is easily detectable at the paper
arXiv:math/0509423v1 [math.ST]
19 Sep. 2005
Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test
D. Wurtz, H. G. Kratzgraber

In what concerns the ALM test statistics it seems had been unnoticed, as long as I know, that this test statistics definition - with a wrong multiplicative N (paper´s expression (2)) - is incompatible with (c1) and (c3) simply because these quantities (skewness and kurtosis variances) behave as 6/N and 24/N as the sample size grows to infinite, resulting that, without the leading N, to be similar, as it should be, with the LM formula (1), here N rightly expressed.

Luis A. Afonso

Point your RSS reader here for a feed of the latest messages in this topic.

[Privacy Policy] [Terms of Use]

© The Math Forum at NCTM 1994-2018. All Rights Reserved.