Title
Goodness-of-fit tests based on a robust measure of skewness Goodness-of-fit tests based on a robust measure of skewness
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
Heidelberg ,
Subject
Economics
Source (journal)
Computational statistics. - Heidelberg
Volume/pages
23(2008) :3 , p. 429-442
ISSN
0943-4062
ISI
000257721500005
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
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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