Publication: The Robust Jarque-Bera Test

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Title The Robust Jarque-Bera Test
Authors/Editors* Gel Yulia and Gastwirth Joseph
Where published* Economics Letters
How published* Journal
Year* 2008
Volume -1
Number -1
Keywords Goodness-of-fit tests; Test of normality; Robust estimators of scale; Jarque-Bera test; Skewness; Kurtosis
Link doi:10.1016/j.econlet.2007.05.022
In this paper we propose a new robust Jarque-Bera (RJB) test utilizing a robust measure of scale in the denominators of the sample skewness and kurtosis in the Jarque-Bera statistic. Like the JB test statistic, RJB has an asymptotic $\chi^2$-distribution with two degrees of freedom. A simulation study demonstrates that the new RJB test has equal or higher power than the JB test for several common alternatives to normality, with the exception of the exponential distribution.
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