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The Stata Journal
Volume 16 Number 4: pp. 1039-1057



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Tests for normality based on the quantile-mean covariance

Javier Alejo
Center for Distributive, Labor and Social Sciences
Facultad de Ciencias Económicas
Universidad de La Plata
The National Scientific and Technical Research Council (CONICET)
La Plata, Argentina
jalejo@cedlas.org
Anil Bera
University of Illinois at Urbana–Champaign
Champaign, IL
abera@illinois.edu
Antonio Galvao
University of Iowa
Iowa City, IA
antonio-galvao@uiowa.edu
Gabriel Montes-Rojas
Universitat Autònoma de Barcelona
Barcelona, Spain
gabriel.montes@uab.cat
Zhijie Xiao
Boston College
Boston, MA
zhijie.xiao@bc.edu
Abstract.  We present a new command, qctest, to implement tests for normality of a random variable based on the quantile-mean covariance. The test procedures are based on recent results by Bera et al. (2016, Econometric Theory 32: 1216–1252) and are an efficient alternative to existing normality tests in the literature.
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View all articles by these authors: Javier Alejo, Anil Bera, Antonio Galvao, Gabriel Montes-Rojas, Zhijie Xiao

View all articles with these keywords: qctest, skewness, kurtosis, normality

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