Goodness-of-fit tests based on a robust measure of skewness
Faculty of Applied Economics
Faculty of Sciences. Mathematics and Computer Science
Antwerp :UA, 2004
Research paper / UA, Faculty of Applied Economics ; 2004:18
University of Antwerp
In this paper we propose several goodness-of-fit tests based on robust measures of skewness and tail weight. They can be seen as generalisations of the Jarque-Bera test (Bera and Jarque, 1981) based on the classical skewness and kurtosis, and as an alternative to the approach of Moors et al. (1996) using quantiles. The power values and the robustness properties of the different tests are investigated by means of simulations and applications on real data. We conclude that MC-LR, one of our proposed tests, shows the best overall power and that it is moderately influenced by outlying values.