Testing for Normality in the Linear Regression Model: An Empirical Likelihood Ratio Test

Lauren Bin Dong and David Giles

No 402, Department Discussion Papers from Department of Economics, University of Victoria

Abstract: The empirical likelihood ratio (ELR) test for the problem of testing for normality in a linear regression model is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are explored and analyzed using Monte Carlo simulation. The ELR test has good power properties against various alternative hypotheses.

Keywords: Regression residual; empirical likelihood ratio; Monte Carlo simulation; normality JEL Classifications: C12; C15; C16 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2004-04
New Economics Papers: this item is included in nep-ecm
Note: ISSN 1485-6441
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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicddp:0402

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