I dissent here. The Jarque-Bera test is based on
the same underlying idea of a test statistic
based on the moment measures of skewness and kurtosis.
Why Jarque and Bera get the credit I do not know,
beyond the fact that they published a paper. The
main idea is decades older.
What is more, -jb6- is a very inflexible program, with no
support for -if- and -in-.
For this and other reasons,
I see no advantage whatsoever in -jb6- over -sktest-.
Early issues of the Stata Technical Bulletin featured
several contributions to a debate, at times rather
heated, on tests in this area. -sktest-, and also
-swilk- and -sfrancia-, emerged from this debate.
The list can be seen on
http://www.stata.com/products/stb/stbvols.html
sg3: Skewness and kurtosis test of normality. W. Gould.
sg3.1: Tests for departure from normality. P. Royston.
sg3.2: Shapiro-Wilk and Shapiro-Francia tests ado-files. P. Royston.
sg3.3: Comment on sg3.1. R. D'Agostino, A. Belanger, and R. D'Agostino Jr.
sg3.4: Summary of tests of normality. W. Gould and W. Rogers.
sg3.5: Common on sg3.4 and an improved D'Agostino test. P. Royston.
sg3.6: Comment on sg3.3. P. Royston.
sg3.7: Final summary of tests of normality. W. Gould.
and the whole can be read comfortably in your bath or bed
after taking advantage of the 50% discount on STB Reprints
currently available.
Nick
[email protected]
[email protected]
by the way: jb6 provides an alternative tests for normality (jarcque-bera test)
it is a user written ado-file and can be downloaded
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