An Omnibus Test for Univariate and Multivariate Normality.

Journal article

We suggest a convenient version of the omnibus test for normality, using skewness and kurtosis based on Shenton and Bowman [Journal of the American Statistical Association (1977) Vol. 72, pp. 206-211], which controls well for size, for samples as low as 10 observations. A multivariate version is introduced. Size and power are investigated in comparison with four other tests for multivariate normality. The first power experiments consider the whole skewness-kurtosis plane; the second use a bivariate distribution which has normal marginals. It is concluded that the proposed test has the best size and power properties of the tests considered.

Authors: Doornik, J; Hansen, H

• Publisher: Blackwell Publishing
• Journal: Oxford Bulletin of Economics and Statistics
• Volume: 70
• Issue: s1
• Pages: 927 - 939
• Publication date: 2008-01-01
• DOI: 10.1111/j.1468-0084.2008.00537.x
• ISSN: 0305-9049
• Language: English