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Topic: ALM - Jarque-Bera test
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Luis A. Afonso

Posts: 4,617
From: LIsbon (Portugal)
Registered: 2/16/05
ALM - Jarque-Bera test
Posted: Jun 6, 2013 5:33 PM
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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



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