文章基本信息

标题：Normal but Skewed?
本地全文：下载
作者：Dante Amengual ; Xinyue Bei ; Enrique Sentana 等
期刊名称：CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
出版年度：2021
卷号：2104
语种：English
出版社：Centro de Estudios Monetarios y Financieros, Madrid
摘要：We propose a multivariate normality test against skew normal distributions using higher-order log-likelihood derivatives which is asymptotically equivalent to the likelihood ratio but only requires estimation under the null. Numerically, it is the supremum of the univariate skewness coefficient test over all linear combinations of the variables. We can simulate its exact finite sample distribution for any multivariate dimension and sample size. Our Monte Carlo exercises confirm its power advantages over alternative approaches. Finally, we apply it to the joint distribution of US city sizes in two consecutive censuses finding that non-normality is very clearly seen in their growth rates.