Jarque-Bera Test

[itsyourz]

hi!

in slide of Jarque-Bera test,

why is the degree of freedom of 2 ?

and how can it be concluded whether the null be rejected or not ?

I looked at the study note, but i didn't get it

thanks

suk

 

[David Harper CFA FRM]

Hi suk,

I *think* it is because it contains the two variables, skew and kurtosis; i.e., it is a test of a joint null hypothesis that skew = 0 and kurt = 3.

Here is a sample question with calcs

We use chi-square distribution (the same we use to test to see if two sample variances are equal; i.e., drawn from same population). See the example above, we compute J-B and compare to the critical lookup; if calculated J-B > lookup, reject null, if not, fail to reject null.

David