A diagnostic test for normality within the power exponential family

Dale J. Poirier; Mario D. Tello; Stanley E. Zin

doi:10.1080/07350015.1986.10509532

A diagnostic test for normality within the power exponential family

Dale J. Poirier
, Mario D. Tello
, Stanley E. Zin

University of Toronto
University of Southern California
Queen's University

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

This article develops the locally uniformly most powerful unbiased Lagrange multiplier test of normality of regression disturbances within the family of power exponential distributions. The small sample power properties of the test are compared in a Monte Carlo study with 6 well-known tests across 12 alternative nonnormal distributions. In addition, the finite sample power properties for nonnormal alternatives within the power exponential family are summarized by estimating response surfaces. The results suggest that the proposed text is computationally convenient and possesses relatively attractive power properties even against alternatives outside the power exponential family.

Original language	English
Pages (from-to)	359-373
Number of pages	15
Journal	Journal of Business and Economic Statistics
Volume	4
Issue number	3
DOIs	https://doi.org/10.1080/07350015.1986.10509532
State	Published - Jul 1986
Externally published	Yes

Keywords

Lagrange multiplier tests
Normality tests

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10.1080/07350015.1986.10509532

Cite this

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title = "A diagnostic test for normality within the power exponential family",

abstract = "This article develops the locally uniformly most powerful unbiased Lagrange multiplier test of normality of regression disturbances within the family of power exponential distributions. The small sample power properties of the test are compared in a Monte Carlo study with 6 well-known tests across 12 alternative nonnormal distributions. In addition, the finite sample power properties for nonnormal alternatives within the power exponential family are summarized by estimating response surfaces. The results suggest that the proposed text is computationally convenient and possesses relatively attractive power properties even against alternatives outside the power exponential family.",

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AU - Tello, Mario D.

AU - Zin, Stanley E.

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N2 - This article develops the locally uniformly most powerful unbiased Lagrange multiplier test of normality of regression disturbances within the family of power exponential distributions. The small sample power properties of the test are compared in a Monte Carlo study with 6 well-known tests across 12 alternative nonnormal distributions. In addition, the finite sample power properties for nonnormal alternatives within the power exponential family are summarized by estimating response surfaces. The results suggest that the proposed text is computationally convenient and possesses relatively attractive power properties even against alternatives outside the power exponential family.

AB - This article develops the locally uniformly most powerful unbiased Lagrange multiplier test of normality of regression disturbances within the family of power exponential distributions. The small sample power properties of the test are compared in a Monte Carlo study with 6 well-known tests across 12 alternative nonnormal distributions. In addition, the finite sample power properties for nonnormal alternatives within the power exponential family are summarized by estimating response surfaces. The results suggest that the proposed text is computationally convenient and possesses relatively attractive power properties even against alternatives outside the power exponential family.

KW - Lagrange multiplier tests

KW - Normality tests

UR - https://www.scopus.com/pages/publications/0005544960

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DO - 10.1080/07350015.1986.10509532

M3 - Article

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ER -

A diagnostic test for normality within the power exponential family

Abstract

Keywords

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