Jarque Bera Test

http://www.statistikian.com
Anwar Hidayat

No Data Xi-Mean X (Xi-Mean X)^2 (Xi-Mean X)^3 (Xi-Mean X)^4

1 3 -2.6 6.76 -17.576 45.6976
2 9 3.4 11.56 39.304 133.6336
3 4 -1.6 2.56 -4.096 6.5536
4 4 -1.6 2.56 -4.096 6.5536
5 9 3.4 11.56 39.304 133.6336
6 7 1.4 1.96 2.744 3.8416
7 8 2.4 5.76 13.824 33.1776
8 9 3.4 11.56 39.304 133.6336
9 4 -1.6 2.56 -4.096 6.5536
10 9 3.4 11.56 39.304 133.6336
11 4 -1.6 2.56 -4.096 6.5536
12 4 -1.6 2.56 -4.096 6.5536
13 8 2.4 5.76 13.824 33.1776
14 3 -2.6 6.76 -17.576 45.6976
15 5 -0.6 0.36 -0.216 0.1296
16 6 0.4 0.16 0.064 0.0256
17 6 0.4 0.16 0.064 0.0256
18 5 -0.6 0.36 -0.216 0.1296
19 4 -1.6 2.56 -4.096 6.5536
20 1 -4.6 21.16 -97.336 447.7456
Jumlah 110.8 30.24 1183.504

Tabel Adjusted P Value For JB Test (By Wikipedia: Monte Carlo Simulation), α = 0.05
N Sampel 20 30 50 70 100
Adj P Value 0.146 0.109 0.079 0.067 0.062

Tabel Adjusted JB, α = 0.05

Von & Hain * Deb & Sefton ** Stephens *** Von & Hain * Stephens ***
N Sampel
JB JB JB AJB AJB
10 2.5235 2.5347 7.3840 7.4374
15 3.2973 7.0659
20 3.7947 3.7737 3.7677 6.9696 6.8559
25 4.1517 6.8624
30 4.4055 4.3852 6.7310
35 4.6044 6.6814
50 4.9671 5.0002 5.0037 6.5436 6.5940
100 5.4237 5.4365 5.4479 6.3385 6.3381
 200 5.9654 5.7113 5.7275 6.1868 6.1678
500 5.8587 5.8869 5.8246 6.0700 6.0378
∞ 5.9915 5.9915 5.9915 5.9915 5.9915

* Stephens, M., 1974. Edf statistics for goodness of _x000C_t and some comparisons. Journal of the American Statistical Assoc
** P. Deb and M. Sefton, 1996. The distribution of a Lagrange multiplier test of normality. Econometrics Letters, 51:123–130.
*** V. Von and J. Hain, 2010. Comparison of Common Tests for Normality. Julius-Maximilians-Universit¨at W¨urzburg. Institut
Mean 5.6
N 20
Expected Skewness (S) 0.004446236
Expected Excess Kurtosis (K) 1.928058492
Jarque Bera (JB) 0.957614728

P Value (JB) 0.619521815

Distribusi*** Normal

Regressor* 5
JB** 0.718211046
P Value (JB) 0.698300661
Distribusi*** Normal

b1 1.976901E-05
b2 1.928058492
E(b2) 2.714
Var(√(b1)) 0.223602484
Var(b2) 0.579236912
Adjusted Jarque Bera (AJB) 1.067273932
P Value (AJB) 0.586468122
Distribusi*** Normal

Note
* Jumlah Variabel Bebas dalam uji Regresi Linear
** Uji Jarque Bera pada residual hasil uji Regresi Linear
*** Digunakan Untuk sampel besar > 1000, Untuk sampel kecil gunakan tabel adjusted p value
American Statistical Association 69, 730-737.
rics Letters, 51:123–130.
sit¨at W¨urzburg. Institut f¨ur Mathematik und Informatik. Lehrstuhl f¨ur Mathematik VIII (Statistik). 65-67.