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Jarque–Bera test

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Title: Jarque–Bera test  
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Subject: Kolmogorov–Smirnov test, Kurtosis, Statistics, List of statistics articles, Anil K. Bera
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Jarque–Bera test

In statistics, the Jarque–Bera test is a goodness-of-fit test of whether sample data have the skewness and kurtosis matching a normal distribution. The test is named after Carlos Jarque and Anil K. Bera. The test statistic JB is defined as

\mathit{JB} = \frac{n}{6} \left( S^2 + \frac14 (K-3)^2 \right)

where n is the number of observations (or degrees of freedom in general); S is the sample skewness, and K is the sample kurtosis:

S = \frac{ \hat{\mu}_3 }{ \hat{\sigma}^3 } = \frac{\frac1n \sum_{i=1}^n (x_i-\bar{x})^3} {\left(\frac1n \sum_{i=1}^n (x_i-\bar{x})^2 \right)^{3/2}} ,
K = \frac{ \hat{\mu}_4 }{ \hat{\sigma}^4 } = \frac{\frac1n \sum_{i=1}^n (x_i-\bar{x})^4} {\left(\frac1n \sum_{i=1}^n (x_i-\bar{x})^2 \right)^{2}} ,

where \hat{\mu}_3 and \hat{\mu}_4 are the estimates of third and fourth central moments, respectively, \bar{x} is the sample mean, and \hat{\sigma}^2 is the estimate of the second central moment, the variance.

If the data come from a normal distribution, the JB statistic asymptotically has a chi-squared distribution with two degrees of freedom, so the statistic can be used to test the hypothesis that the data are from a normal distribution. The null hypothesis is a joint hypothesis of the skewness being zero and the excess kurtosis being zero. Samples from a normal distribution have an expected skewness of 0 and an expected excess kurtosis of 0 (which is the same as a kurtosis of 3). As the definition of JB shows, any deviation from this increases the JB statistic.

For small samples the chi-squared approximation is overly sensitive, often rejecting the null hypothesis when it is in fact true. Furthermore, the distribution of p-values departs from a uniform distribution and becomes a right-skewed uni-modal distribution, especially for small p-values. This leads to a large Type I error rate. The table below shows some p-values approximated by a chi-squared distribution that differ from their true alpha levels for small samples.

Calculated p-value equivalents to true alpha levels at given sample sizes
True α level 20 30 50 70 100
0.1 0.307 0.252 0.201 0.183 0.1560
0.05 0.1461 0.109 0.079 0.067 0.062
0.025 0.051 0.0303 0.020 0.016 0.0168
0.01 0.0064 0.0033 0.0015 0.0012 0.002

(These values have been approximated by using Monte Carlo simulation in Matlab)

In MATLAB's implementation, the chi-squared approximation for the JB statistic's distribution is only used for large sample sizes (> 2000). For smaller samples, it uses a table derived from Monte Carlo simulations in order to interpolate p-values.[1]

Contents

  • History 1
  • Jarque–Bera test in regression analysis 2
  • References 3
  • Implementations 4

History

Considering normal sampling, and √β1 and β2 contours, Bowman & Shenton (1975) noticed that the statistic JB will be asymptotically χ2(2)-distributed; however they also noted that “large sample sizes would doubtless be required for the χ2 approximation to hold”. Bowman and Shelton did not study the properties any further, preferring D’Agostino’s K-squared test.

A

Jarque–Bera test in regression analysis

According to Robert Hall, David Lilien, et al. (1995) when using this test along with multiple regression analysis the right estimate is:

\mathit{JB} = \frac{n-k}{6} \left( S^2 + \frac14 (K-3)^2 \right)

where n is the number of observations and k is the number of regressors when examining residuals to an equation.

References

  1. ^ "Analysis of the JB-Test in MATLAB". MathWorks. Retrieved May 24, 2009. 

  • Bowman, K.O.; Shenton, L.R. (1975). "Omnibus contours for departures from normality based on √b1 and b2". Biometrika 62 (2): 243–250.  
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  • Judge; et al. (1988). Introduction and the theory and practice of econometrics (3rd ed.). pp. 890–892. 
  • Hall, Robert E.; Lilien, David M.; et al. (1995). EViews User Guide. p. 141. 

Implementations

  • ALGLIB includes implementation of the Jarque–Bera test in C++, C#, Delphi, Visual Basic, etc.
  • gretl includes an implementation of the Jarque–Bera test
  • R includes implementations of the Jarque–Bera test: jarque.bera.test in package tseries, for example, and jarque.test in package moments.
  • MATLAB includes implementation of the Jarque–Bera test, the function "jbtest".
  • Python statsmodels includes implementation of the Jarque–Bera test, "statsmodels.stats.stattools.py".
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