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Title
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Goodness-of-fit tests based on a robust measure of skewness
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Author
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Abstract
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| 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 JarqueBera test (Bera and Jarque in Econ Lett 7:313318, 1981) based on the classical skewness and kurtosis, and as an alternative to the approach of Moors et al. (Stat Neerl 50:417430, 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 |
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Language
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English
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Source (journal)
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Computational statistics. - Heidelberg
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Publication
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Heidelberg
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2008
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ISSN
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0943-4062
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DOI
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10.1007/S00180-007-0083-7
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Volume/pages
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23
:3
(2008)
, p. 429-442
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ISI
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000257721500005
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Full text (Publisher's DOI)
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