An Omnibus Test for Univariate and Multivariate Normality*

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 2008
Volume: 70
Issue: s1
Pages: 927-939

Authors (2)

Jurgen A. Doornik (not in RePEc) Henrik Hansen (Københavns Universitet)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We suggest a convenient version of the omnibus test for normality, using skewness and kurtosis based on Shenton and Bowman [Journal of the American Statistical Association (1977) Vol. 72, pp. 206–211], which controls well for size, for samples as low as 10 observations. A multivariate version is introduced. Size and power are investigated in comparison with four other tests for multivariate normality. The first power experiments consider the whole skewness–kurtosis plane; the second use a bivariate distribution which has normal marginals. It is concluded that the proposed test has the best size and power properties of the tests considered.

Technical Details

RePEc Handle
repec:bla:obuest:v:70:y:2008:i:s1:p:927-939
Journal Field
General
Author Count
2
Added to Database
2026-01-25