A Diagnostic Test for Normality Within the Power Exponential Family |
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| Authors: | Dale J Poirier Mario D Tello Stanley E Zin |
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| Institution: | 1. Department of Economics , University of Toronto , Ontario , Canada , M5S 1A1;2. Department of Economics , University of Southern California , Los Angeles , CA , 90089-0035;3. Department of Economics , Queen's University , Kingston , Ontario , Canada , K7L 3N6 |
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| 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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| Keywords: | Lagrange multiplier tests Normality tests |
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