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Journal articles on the topic 'Jarque-Bera'

Author: Grafiati
Published: 4 June 2021
Last updated: 2 February 2022

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1

Střelec, Luboš. "Analysis of power of the classical and robust normality tests against bimodal distribution." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 57, no. 6 (2009): 253–60. http://dx.doi.org/10.11118/actaun200957060253.

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The aim of this paper is to compare the power of selected normality tests to detect a bimodal distribution. We use some classical normality tests (the Shapiro-Wilk test, the Lilliefors test, the Anderson-Darling test, the classical Jarque-Bera test and the Jarque-Bera-Urzua test), some robust normality tests (the robust Jarque-Bera test and the Medcouple test) and the modified Jarque-Bera tests, where the median instead of the mean is used in the classical Jarque-Bera test statistic. The results of simulation study show that the Anderson-Darling and the Shapiro-Wilk tests outperform the others, especially in small sample sizes. On the other hand the classical Jarque-Bera, the Jarque-Bera-Urzua and robust Jarque-Bera tests are biased, especially in small sample sizes again. Finally, the modification of the Jarque-Bera test leads to increase of power against bimodal distribution.
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2

Střelec, Luboš. "Comparison of power of modified Jarque-Bera normality tests and selected tests of normality." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 56, no. 6 (2008): 137–48. http://dx.doi.org/10.11118/actaun200856060137.

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The aim of this paper is to modify the classical Jarque-Bera test and the robust Jarque-Bera test of normality. We use the median as an estimator instead of the mean in the classical Jarque-Bera test and in the robust Jarque-Bera test. This leads to the modified Jarque-Bera test and the modified robust Jarque-Bera test. Paper also demonstrates results of simulation studies of power of such tests with the various alternatives – light tailed alternatives as exponential, lognormal and gamma distribution, heavy tailed alternatives as Cauchy, Laplace, t3, t5 and logistic distributions and short tailed alternatives as beta and uniform distributions. These tests of normality are also used for normality testing of selected datasets of financial time series. Source data include logarithmic returns of monthly ave­ra­ge prices of Prague stock exchange index PX and monthly average prices of CZK/EUR exchange rate in the period from 2000 to 2007.
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3

Steinskog, Dag J., Dag B. Tjøstheim, and Nils G. Kvamstø. "A Cautionary Note on the Use of the Kolmogorov–Smirnov Test for Normality." Monthly Weather Review 135, no. 3 (March 1, 2007): 1151–57. http://dx.doi.org/10.1175/mwr3326.1.

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Abstract The Kolmogorov–Smirnov goodness-of-fit test is used in many applications for testing normality in climate research. This note shows that the test usually leads to systematic and drastic errors. When the mean and the standard deviation are estimated, it is much too conservative in the sense that its p values are strongly biased upward. One may think that this is a small sample problem, but it is not. There is a correction of the Kolmogorov–Smirnov test by Lilliefors, which is in fact sometimes confused with the original Kolmogorov–Smirnov test. Both the Jarque–Bera and the Shapiro–Wilk tests for normality are good alternatives to the Kolmogorov–Smirnov test. A power comparison of eight different tests has been undertaken, favoring the Jarque–Bera and the Shapiro–Wilk tests. The Jarque–Bera and the Kolmogorov–Smirnov tests are also applied to a monthly mean dataset of geopotential height at 500 hPa. The two tests give very different results and illustrate the danger of using the Kolmogorov–Smirnov test.
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4

Lawford, Steve. "Finite-sample quantiles of the Jarque–Bera test." Applied Economics Letters 12, no. 6 (May 15, 2005): 351–54. http://dx.doi.org/10.1080/1350485042000338653.

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5

Kim, Namhyun. "A robustified Jarque–Bera test for multivariate normality." Economics Letters 140 (March 2016): 48–52. http://dx.doi.org/10.1016/j.econlet.2016.01.007.

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6

Abdellatif, Dahmouni, Karim El Moutaouakil, and Khalid Satori. "Clustering and Jarque-Bera Normality Test to Face Recognition." Procedia Computer Science 127 (2018): 246–55. http://dx.doi.org/10.1016/j.procs.2018.01.120.

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7

Lo, Gane Samb, Oumar Thiam, and Mohamed Cheikh Haidara. "High Moments Jarque-Bera Tests for Arbitrary Distribution Functions." Applied Mathematics 06, no. 04 (2015): 707–16. http://dx.doi.org/10.4236/am.2015.64066.

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8

El-Salam, Moawad El-Fallah Abd. "A modification of the Jarque-Bera test for normality." International Journal of Contemporary Mathematical Sciences 8 (2013): 843–53. http://dx.doi.org/10.12988/ijcms.2013.39106.

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9

Rilstone, Paul. "A simple bera-jarque normality test for nonparametric residuals." Econometric Reviews 11, no. 3 (January 1992): 355–65. http://dx.doi.org/10.1080/07474939208800245.

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10

Gel, Yulia R., and Joseph L. Gastwirth. "A robust modification of the Jarque–Bera test of normality." Economics Letters 99, no. 1 (April 2008): 30–32. http://dx.doi.org/10.1016/j.econlet.2007.05.022.

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11

Střelcová, Petra, and Luboš Střelec. "Using of correlation and distribution tests for efficiency testing of the Czech capital market." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 57, no. 6 (2009): 241–52. http://dx.doi.org/10.11118/actaun200957060241.

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This paper deals with efficiency testing of the Czech stock market. In this work there are defined different forms of efficiency, whereas key attention is focused on the weak-form of market efficiency. The goal of this paper is to find the weak-form of efficiency with the help of various tests. We have used some basic methods for our analysis: the autocorrelation coefficient, the Ljung-Box test and selected tests of normality – some classical normality tests (the Shapiro-Wilk test, the Jarque-Bera test, the Lilliefors test) and some robust normality tests (the robust Jarque-Bera test, the directed SJ test and medcouple MC-LR test). Source data for purpose of testing of weak-form of efficiency include years from 2000 to 2008, whereas daily and monthly logarithmic returns of the stock exchange market index PX are analyzed. In this paper we also analyze the daily and monthly logarithmic returns of the U.S. stock exchange market index DJI for purposes of comparison.
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12

Lee, Sangyeol, Siyun Park, and Taewook Lee. "A note on the Jarque–Bera normality test for GARCH innovations." Journal of the Korean Statistical Society 39, no. 1 (March 2010): 93–102. http://dx.doi.org/10.1016/j.jkss.2009.04.005.

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13

Lee, Taewook. "A note on Jarque–Bera normality test for ARMA–GARCH innovations." Journal of the Korean Statistical Society 41, no. 1 (March 2012): 37–48. http://dx.doi.org/10.1016/j.jkss.2011.05.006.

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14

Лейла M. Мамедова. "ЭКОНОМЕТРИЧЕСКИЙ АНАЛИЗ СООТНОШЕНИЯ КУРСА ВАЛЮТ ЕВРО/АЗЕРБАЙДЖАНСКИЙ МАНАТ В ПРОГРАММАХ EVIEWS И EXCEL." International Academy Journal Web of Scholar, no. 10(40) (October 31, 2019): 48–53. http://dx.doi.org/10.31435/rsglobal_wos/31102019/6742.

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This article explores the phased development of a time series in Eviews and Excel. The ADF test, the Jarque-Bera test, the White test, the Akaike, Schwartz criteria and the AR (p) model were applied. In this article, the adequacy and quality of the model were tested to ensure the significance of the predicted estimates.
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15

Thadewald, Thorsten, and Herbert Büning. "Jarque–Bera Test and its Competitors for Testing Normality – A Power Comparison." Journal of Applied Statistics 34, no. 1 (January 2007): 87–105. http://dx.doi.org/10.1080/02664760600994539.

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16

Wilde, Joachim. "A simple representation of the Bera–Jarque–Lee test for probit models." Economics Letters 101, no. 2 (November 2008): 119–21. http://dx.doi.org/10.1016/j.econlet.2008.07.010.

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17

Beşdok, E., and M. Emin Yüksel. "Impulsive noise suppression from images with Jarque-Bera test based median filter." AEU - International Journal of Electronics and Communications 59, no. 2 (May 2005): 105–10. http://dx.doi.org/10.1016/j.aeue.2004.11.002.

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18

Anderu, KEJI Sunday. "An empirical nexus between poverty and unemployment on economic growth." Jurnal Perspektif Pembiayaan dan Pembangunan Daerah 9, no. 1 (April 30, 2021): 85–94. http://dx.doi.org/10.22437/ppd.v9i1.12005.

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The study examines the empirical nexus between poverty and unemployment on economic growth in Nigeria between 1980 and 2016. Auto-Regressive Distributed Lag (ARDL), Bound cointegration testing, and Error Correction Methods (ECM) were used to investigate the link between unemployment, poverty rate, and economic growth in Nigeria. Post estimation tests such as the Jarque-Bera test, Breusch-Pagan, ARCH test, and Ramsey reset test were also adopted in order to validate the research finding. The diagnostic tests further disclosed that the estimated model follows the Ordinary Least Square technique assumptions to attain efficiency and consistency of the model employed. The Jarque-Bera test suggests that residuals for both models are normally distributed, and the Breusch-Godfrey Serial Correlation (LM) test indicates that the hypothesis of no autocorrelation cannot be rejected. Interestingly, the ARDL and ECM results show that unemployment and poverty significantly impact economic growth both in the short and long run. Hence, the study recommended that the Nigeria government should ensure that adequate measures are put in place: Such as investment in education, agricultural sector reform, expansionary fiscal policy, intervention in micro-lending for small scale businesses by the government should be implemented to reduce the level of unemployment and poverty rate both in the short run and long run.
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19

Sánchez Olalde, Mayeli. "Resultados de dos cursos propedéuticos de Matemáticas para el ingreso a la universidad, uno en modalidad presencial y otro en línea." Revista Relep - Educación y Pedagogía en Latinoamérica 3, no. 1 (September 14, 2021): 6–25. http://dx.doi.org/10.46990/relep.2021.3.1.188.

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El estudio se enfoca en comparar el desempeño académico de los participantes de dos cursos propedéuticos de Matemáticas, uno impartido en modalidad presencial (Grupo I-2018 con 248 participantes) y otro en línea (Grupo II-2019 con 600 participantes), en la Universidad Aeronáutica en Querétaro (UNAQ). Esta investigación es cuantitativa y descriptiva, se aplicaron las pruebas estadísticas: Shapiro-Wilk, Jarque-Bera, t-Student y Mann-Whitney U. Los resultados obtenidos comprueban que la hipótesis de nulidad no fue rechazada, es decir que el curso en línea y el curso presencial presentan un comportamiento similar en el desempeño académico de los participantes. Abstract This research focuses on comparing academic achievement of participants in two preparation courses in mathematics, one of online delivery (Group I-2018 consisting of 248 participants) and the other of face-to-face delivery (Group II-2019 consisting of 600 participants) in the Aeronautical University in Querétaro (UNAQ). This is a quantitative and descriptive investigation where statistical samples were applied: Shapiro-Wilk, Jarque-Bera, t-Student y Mann-Whitney U. The results obtained prove that the null hypothesis was not rejected: in other words, that the online course and the face-to-face course have similar outcomes in participants academic performance.
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20

Gandica de Roa, Elizabeth María. "Potencia y Robustez en Pruebas de Normalidad con Simulación Montecarlo." Revista Scientific 5, no. 18 (November 5, 2020): 108–19. http://dx.doi.org/10.29394/scientific.issn.2542-2987.2020.5.18.5.108-119.

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En esta investigación se planteó como objetivo general, examinar la potencia y robustez de las pruebas de normalidad en muestras grandes y pequeñas, generadas con simulación Montecarlo. Se aplicaron pruebas de hipótesis no paramétricas que miden el grado de discrepancia entre las distribuciones empíricas y la función de distribución acumulada normal, que analizan la correlación entre la distribución teórica y la experimental y las que se sustentan en el estudio de la asimetría y curtosis. La comparación se hizo en dos grupos con tamaño de muestras distintas. En las muestras grandes se compararon las pruebas de Kolmogorov-Smirnov; Chi-Cuadrado de Pearson; Jarque-Bera y Geary; en las muestras pequeñas Shapiro-Wilk; Cramér-von Mises; Lilliefors y Watson. Los contrastes se realizaron con el Programa informático RStudio y el criterio de rechazo para las hipótesis nulas se hizo a través del p-value. Como conclusión, la prueba de mayor robustez en muestras grandes es Kolmogorov estimándose que su probabilidad es menor a 0,11. En muestras pequeñas este resultado corresponde a Shapiro-Wilk con una estimación menor a 0,14. Con relación a la potencia en las pruebas de normalidad para muestras grandes se demostró que la más potente de ellas es la prueba Jarque Bera, con un intervalo de confianza entre 0,86 y 1. Para las muestras pequeñas ninguna de las pruebas sometidas a estudio resultó potente.
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21

Koizumi, Kazuyuki, Masashi Hyodo, and Tatjana Pavlenko. "Modified Jarque–Bera Type Tests for Multivariate Normality in a High-Dimensional Framework." Journal of Statistical Theory and Practice 8, no. 2 (March 24, 2014): 382–99. http://dx.doi.org/10.1080/15598608.2013.806232.

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22

Subekti, Agus, Nana Rachmana, Sugihartono Sugihartono, and Andriyan B. Suksmono. "A Blind Spectrum Sensing for Cognitive Radio Based on Jarque-Bera Normality Test." International Journal on Electrical Engineering and Informatics 8, no. 2 (June 30, 2016): 402–12. http://dx.doi.org/10.15676/ijeei.2016.8.2.12.

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23

Lee, Taewook. "On Jarque–Bera normality and cusum parameter change tests for BCTT-GARCH models." Economics Letters 119, no. 1 (April 2013): 50–54. http://dx.doi.org/10.1016/j.econlet.2013.01.013.

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24

Liu, Yuan Hong, Ming Zeng, and Yan Sheng Zhang. "Adaptive Algorithm for Determination of Optimal Wavelet Decomposition Level Based on Jarque-Bera Test." Applied Mechanics and Materials 644-650 (September 2014): 2220–23. http://dx.doi.org/10.4028/www.scientific.net/amm.644-650.2220.

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Additive Gauss white noise is one of the most commonly observed interferences in practical engineering applications. This paper proposed an algorithm for the adaptive determination of the optimal wavelet decomposition level based on Jarque-Bera test in efforts to solve the filtering problem of additive white Gaussian noise signal. By, The optimal decomposition level of wavelet is determined by testing the white noise which was realized by calculating skewness (S) and kurtosis (K) of the parameters. With signal-to-noise ratio (SNR) as the measurement index, simulation results show that the presented algorithm have higher accuracy, and better filtering effect on low SNR signals compared with nonparametric test methods.
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25

Song, Yanan, and Xuejing Zhao. "Normality Testing of High-Dimensional Data Based on Principle Component and Jarque–Bera Statistics." Stats 4, no. 1 (March 17, 2021): 216–27. http://dx.doi.org/10.3390/stats4010016.

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The testing of high-dimensional normality is an important issue and has been intensively studied in the literature, it depends on the variance–covariance matrix of the sample and numerous methods have been proposed to reduce its complexity. Principle component analysis (PCA) has been widely used in high dimensions, since it can project high-dimensional data into a lower-dimensional orthogonal space. The normality of the reduced data can then be evaluated by Jarque–Bera (JB) statistics in each principle direction. We propose a combined test statistic—the summation of one-way JB statistics upon the independence of the principle directions—to test the multivariate normality of data in high dimensions. The performance of the proposed method is illustrated by the empirical power of the simulated normal and non-normal data. Two real data examples show the validity of our proposed method.
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26

Lee, Sangyeol, and Hiroki Masuda. "Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE." Statistical Inference for Stochastic Processes 13, no. 2 (June 2010): 147–61. http://dx.doi.org/10.1007/s11203-010-9043-x.

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27

Fiorentini, Gabriele, Enrique Sentana, and Giorgio Calzolari. "On the validity of the Jarque–Bera normality test in conditionally heteroskedastic dynamic regression models." Economics Letters 83, no. 3 (June 2004): 307–12. http://dx.doi.org/10.1016/j.econlet.2003.10.023.

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28

Bąkowski, Andrzej, Jerzy Jaroszewicz, and Leszek Radziszewski. "Assessment of the Mechanical Properties of a Diesel Engine Injector." Applied Mechanics and Materials 630 (September 2014): 334–40. http://dx.doi.org/10.4028/www.scientific.net/amm.630.334.

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An analytical and experimental model was proposed to determine sac volume pressure changes and fuel doses injected into the diesel engine cylinders. The model takes into account friction forces and identifies the mechanical properties of the injector. The engine performance results were analysed statistically. The results of the Lilliefors, Pearson, Shapiro-Wilk and Jarque-Bera tests provided evidence that, under certain engine operating conditions, the null hypothesis about the compatibility of the measurement data with the normal distribution can be rejected. The measurement uncertainty for the injector needle lift was estimated. The engine was powered with diesel or biofuel. The difference between the measured and the predicted fuel doses amounted to approximately 3%.
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29

Yürekli, Kadri, Müberra Erdoğan, and Mehmet Murat Cömert. "Use of Non-Parametric Approaches on Normality of Hydrologic Variables." Turkish Journal of Agriculture - Food Science and Technology 6, no. 8 (August 20, 2018): 1030. http://dx.doi.org/10.24925/turjaf.v6i8.1030-1034.1927.

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Parametric approaches in statistical analysis assume that any given data are normally distributed. Therefore, the test of whether this conventional assumption is valid should be made in this context of the available data’s normality before being passed to the application of statistical tests. The paper is focused on the normality methodologies commonly used in literature, named Kolmogorov-Smirnov, Jarque-Bera, D’agostino, Anderson Darling, Shapiro-Wilk and Ryan Joiner. In the study, the seasonal maximum data from eight streamflow gauging stations in Yesilirmak Basin was used as material. The normality in the 59% of the whole data sets were obtained as the highest result by the Kolmogorov –Smirnov approach, when compared to the other normality tests considered in the study.
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30

Hanusz, Zofia, Rie Enomoto, Takashi Seo, and Kazuyuki Koizumi. "A Monte Carlo comparison of Jarque–Bera type tests and Henze–Zirkler test of multivariate normality." Communications in Statistics - Simulation and Computation 47, no. 5 (June 28, 2017): 1439–52. http://dx.doi.org/10.1080/03610918.2017.1315771.

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31

Ogbeide, F. N., J. O. Ehiorobo, O. C. Izinyon, and I. R. Ilaboya. "A Qualitative Study of Time Overrun of Completed Road Projects Awarded by the Niger Delta Development Commission in the Niger Delta Region of Nigeria." March 2021 5, no. 1 (February 2021): 271–80. http://dx.doi.org/10.36263/nijest.2021.01.0269.

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Time overrun of completed road projects awarded by the Niger Delta Development Commission (NDDC) in the Niger Delta Region of Nigeria from its inception in 2000 up to 2015 was studied. Out of 3315 roads awarded, only 1081 roads representing 31.65 percent were completed within the review period. The qualitative study was carried out on randomly selected completed 162 road projects for analysis, and a conceptual model of time series was developed. In developing the regression model, both dependent and independent variables were subjected to normality tests assessed by skewness coefficient, kurtosis value, Jarque-Bera test, residual probability plot, heteroscedasticity test and the variance inflation factor. Also, with knowledge of total road projects awarded by the Commission, it is now possible to predict proportions of roads experiencing schedule overruns.
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32

Costa, Paulo Henrique Soto, and Tara Keshar Nanda Baidya. "PROPRIEDADES ESTATÍSTICAS DAS SÉRIES DE RETORNOS DAS PRINCIPAIS AÇÕES BRASILEIRAS." Pesquisa Operacional 21, no. 1 (June 2001): 61–87. http://dx.doi.org/10.1590/s0101-74382001000100005.

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O artigo analisa seis séries de retornos, escolhidas entre as mais líquidas do mercado e de setores diferentes da economia. São estudadas a estacionariedade, a distribuição incondicional e a independência; de maneira geral as séries podem ser consideradas estacionárias, com distribuição não normal (leptocúrtica) e dependentes no tempo. A estacionariedade é analisada através do teste ADF, através dos coeficientes de modelos GARCH ajustados aos dados, pelos coeficientes de bicorrelação e com o uso de regressão localmente ponderada. A normalidade é rejeitada pelo teste de Jarque e Bera. A dependência (linear e não linear) é constatada pelas autocorrelações dos retornos e dos seus quadrados: tenta-se modelar a dependência com modelos ARMA, de amortecimento exponencial e GARCH mas os resíduos dos modelos, testados pelo teste BDS, mostram que nenhum deles representa bem o processo gerador dos dados
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33

Eladly, Salah Mohamed. "The Financial Performance on Asset Quality of Insurance Industry in Egypt (Panel Data Analysis)." International Business Research 14, no. 6 (May 12, 2021): 24. http://dx.doi.org/10.5539/ibr.v14n6p24.

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This study is an attempt to analyze the  impact of the financial performance on asset quality of insurance industry in Egypt as  applied on a sample of 19 insurance companies over the period 1999-2019.The financial performance measured by profitability (return on equity-return on investment) and liquidity results show that there is a significant negative linear relationship between the independent variable in terms ofX3, and the dependent variable; y, at a significant level less than (0.01), while there is no significant linear relationship between the independent variable of X1,X2, and dependent variable; y at a significant level greater than (0.05) . The study methodology used panel data analysis according to ARDL model and OLS, beside the robustness check supports these results using the Jarque-Bera test and the Durbin-Watson test statistic
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Mantalos, Panagiotis. "Three different measures of sample skewness and kurtosis and their effects on the Jarque Bera test for normality." International Journal of Computational Economics and Econometrics 2, no. 1 (2011): 47. http://dx.doi.org/10.1504/ijcee.2011.040576.

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35

Sadat, Ahmed Raihan, and Md Emran Hasan. "Testing Weak Form of Market Efficiency of DSE Based on Random Walk Hypothesis Model: A Parametric Test Approach." International Journal of Accounting and Financial Reporting 9, no. 1 (January 3, 2019): 400. http://dx.doi.org/10.5296/ijafr.v9i1.14454.

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Stock market is one great indicator of any country’s economic condition. Hence, measuring the capital market in different forms has always been a great interest to finance researchers. This paper measures the market efficiency and randomness of Dhaka stock Exchange (DSE) in weak form employing daily observations (return) from two comparatively new ventured indices viz. DS30 and DSEX. Initially, the study tests for normality using Jarque-Bera test of normality and found data series are not normally distributed. Later, some widely used parametric tests were conducted to examine the historic price dependencies or to examine the random walk hypothesis (RWH) of DSE indices. Augmented Dickey-Fuller test (ADF), Autocorrelation function (ACF), and variance ratio test (Lo & MacKinlay) were used and all of the results suggested DSE to be not efficient in weak form. Meaning, prices of DSE do not follow a random walk.
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36

Dhungana, Yub Raj. "Predictability of Stock Returns on the Dhaka Stock Exchange." Batuk 6, no. 2 (July 1, 2020): 87–96. http://dx.doi.org/10.3126/batuk.v6i2.34519.

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The study examines the predictability of index returns on the Dhaka stock market within the framework of the weak-form efficient market hypothesis using historical daily returns for a period of 1st June, 2014 to 29th May, 2020. The Jarque-Bera statistics test explored the return distribution of Dhaka Stock Exchange is non-normal. The random walk hypothesis (RWH) was tested using autocorrelation test, runs test, unit root tests(Augmented Dickey-Fuller (ADF) and, Phillip-Perron (PP) test) and variance ratio test. The results explored that all tests rejected the random walk hypothesis required by the weak-form efficient market hypothesis. This provides empirical basis to infer that the DSE is inefficient at weak-form and stock return can be predicted. The rejection of the RWH on a daily basis is possibly an indication that the weak-form inefficient characteristic of the DSE is not sensitive to return frequency.
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37

Kharka, Damber S. "Test of Data Normality, Return Similarity and Variance Analysis in South Asian Stock Markets." INTERNATIONAL JOURNAL OF MANAGEMENT & INFORMATION TECHNOLOGY 1, no. 3 (September 27, 2012): 13–25. http://dx.doi.org/10.24297/ijmit.v1i3.1423.

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This paper analyzes the data distribution on stock market returns in SAARC nations (Bhutan, India, Bangladesh, Nepal, Sri Lanka and Pakistan) for weekly data from January 2006 to December 2011 to see if market returns are normally distributed. Secondly we have also tested if returns are similar across different markets using pair sample t-tests. While comparing differences or similarities in returns we compare associated risks for each pair to see if there exist opportunity for similar returns at lower risk or higher returns at a given risk. Finally we analyzed variance analysis using one-way ANNOVA with multiple comparisons to find out if time varying effect is present in any of the stock market return. Our finding suggests that the data distributions on stock returns of all the markets in the region are not normal. We observe high skewness, kurtosis and further the hypothesis of normal distribution have been rejected based on Jarque-Bera test for full sample data of 2006 to 2011 for all countries although, the data of Bangladesh and India seems to possess lower levels of skewness and Jarque-Bera statistics indicating lesser degree of non-normality. When data was run after splitting the sample annually, we found that the distribution was normal for most years for majority of markets. This suggested impacts of sample size on data distribution. We crosschecked the results with non-parametric test using Kolmogorov-Smirnov (K-S) since it is one of the very popular tests statisticians would use. We found that the data distributions of Indian and Bangladeshi stock returns are normal and the rest are non-normal. While analyzing the return similarities/difference using paired sample t-tests, we found that there exits no statistical differences in the average returns between different pairs of stock returns except some difference with few pairs of returns when sample was split annually. We have observed difference in the levels of risks (standard deviation). This indicates opportunity for investors to earn similar returns at lower risks by changing their investment destinations. We conducted multiple comparisons of variances using annual, weekly and seasonal codes and found that some annual time effect with some stock returns. However, we found no week of the month effect and season of the year effect. Difference in time per se for entry into the stock market and exit from it does not provide extra benefits.
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38

Islam, Tanweer Ul. "Ranking of Normality Tests: An Appraisal through Skewed Alternative Space." Symmetry 11, no. 7 (July 3, 2019): 872. http://dx.doi.org/10.3390/sym11070872.

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In social and health sciences, many statistical procedures and estimation techniques rely on the underlying distributional assumption of normality of the data. Non-normality may lead to incorrect statistical inferences. This study evaluates the performance of selected normality tests within the stringency framework for skewed alternative space. The stringency concept allows us to rank the tests uniquely. The Bonett and Seier test (Tw) turns out to represent the best statistics for slightly skewed alternatives and the Anderson–Darling (AD); Chen–Shapiro (CS); Shapiro–Wilk (W); and Bispo, Marques, and Pestana (BCMR) statistics are the best choices for moderately skewed alternative distributions. The maximum loss of Jarque–Bera (JB) and its robust form (RJB), in terms of deviations from the power envelope, is greater than 50%, even for large sample sizes, which makes them less attractive in testing the hypothesis of normality against the moderately skewed alternatives. On balance, all selected normality tests except Tw and Daniele Coin’s COIN-test performed exceptionally well against the highly skewed alternative space.
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39

Olaoye, Clement Olatunji, Ayobolawole Adewale Ogundipe, and Oladimeji Emmanuel Oluwadare. "Tax Revenue and Economic Development in Nigeria." Advances in Social Sciences Research Journal 6, no. 9 (October 8, 2019): 312–21. http://dx.doi.org/10.14738/assrj.69.7109.

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This study investigated the impact of taxation on economic development of Nigeria from 2003 to 2017.Vector Error Correction Model (VECM), Augmented Dickey-Fuller (ADF) unit root test, Autoregressive Distributed Lag (ARDL) bounds test, Jarque-Bera Normality Test and Eigenvalue stability condition were utilised in this study. The study revealed that companies’ income tax, petroleum profit and value added tax have a long run impact of -0.225(p-value=0.000),-0.0005 (p-value=0.699), and 0.211(p-value=0.000) respectively on the economic development of Nigeria.It was concluded that taxation has a significant long run relationship with Nigeria’s economic development. The study recommended that the government should not increase companies’ income tax rate because it is detrimental to the economic development of the country in the long run, instead the government should increase the value added tax because it has the potentiality to improve economic development of Nigeria. Also, the government should not concentrate effort on petroleum profit tax as it not significant on economic development of the country.
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40

Umar, Bello, Umar Abbas Ibrahim, and Peter Eriki. "Forensic Accounting and Incidence of Fraud Detection." International Journal of Finance & Banking Studies (2147-4486) 9, no. 2 (June 5, 2020): 72–81. http://dx.doi.org/10.20525/ijfbs.v9i2.680.

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The study described and explained forensic accounting and the incidence of fraud detection in Nigeria. The objectives of this study were to identify personal skills requirements and, assess the types of investigative techniques used in forensic accounting. A literature review was conducted to set up the conceptual and theoretical framework for the study. A quantitative approach was used by administering a structured questionnaire. A total of 101 investigators from Economic and Financial Crimes Commission (EFCC) were used as sample for the study. We employed Jarque Bera statistics to conduct the analysis using the E views software. There is a significant relationship between forensic accounting personal skills; investigative techniques and fraud detection in Nigeria. The scope of the study was only in Nigeria and all samples were drawn from the Economic and Financial Crimes Commission (EFCC). The study concluded despite all fraudulent activities, forensic accounting is proffering solutions for fraud prevention and detection in Nigeria. It was recommended for practitioners to engage in further training on forensic accounting personal skills and techniques.
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41

Nkwocha, Callistus Ikechukwu, Mike Anyanwaokoro, Awa Kalu Idika, and Ebere Ume Kalu. "A temporal study of the responsiveness of foreign private investment to exchange rate in Nigeria, 1981 – 2018." Journal of Economic Info 8, no. 1 (February 16, 2021): 12–32. http://dx.doi.org/10.31580/jei.v8i1.1456.

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This study examined the response of foreign private investment flows to fluctuations in foreign exchange rates in Nigeria. The empirical analysis was conducted using ordinary least square Multiple Regression on E-view 10 Econometric model for the period 1981 to 2018. Preliminary analysis was carried out with Jarque Bera normality test and Johnson’s transformation test to confirm normal distribution of data and the transformation is effective. A negative relationship between foreign exchange fluctuation and foreign private investment is found. Also, that Bank lending interest rate, market capitalization, external debts and trade openness have a significant effect on the foreign private capital flows in Nigeria while foreign exchange rate fluctuation does not significantly affect private investment. From the findings of the study, we recommend i) That policymakers in Nigeria should seek and implement appropriate exchange rate that will boost foreign private investment; ii) Ensure enlarge trade relationship by allowing international organizations and citizens of other countries access to the financial market in the domestic economy; iii) They should discourage external borrowing to significantly reduce debt service burden.
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42

Kresojević, Bojan, and Milica Gajić. "Application of the T-Test in Health Insurance Cost Analysis: Large Data Sets." ECONOMICS 7, no. 2 (December 1, 2019): 157–67. http://dx.doi.org/10.2478/eoik-2019-0024.

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Abstract In this paper will be analyzed the application of the t-test against the nonparametric Mann - Whitney test in the analysis of health insurance benefit costs in the Republic of Srpska on large samples. This research aims to examine which method produces better results when testing statistical hypotheses. The adequacy of the statistical tests will be tested on primary health insurance cost data for 1,044,690 insureds in 2017. For two samples of size 4,000, the sampling distribution of the difference in two means has a skewness coefficient of 0.05 and a kurtosis coefficient of 3.09. Jarque - Bera test does not reject the hypothesis of normality of distribution with a p-value of 0.135. On the other hand, in the Mann - Whitney test, the real risk of the first species, when there is a difference in skewness between the samples, may be less than 0.001 compared to the nominal risk level of 0.05. Based on the results obtained, it is suggested to use the t-test instead of the Mann - Whitney test if the sample is large enough, which should be verified by the bootstrap method.
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43

Sharif Moghadasi, Leila. "The study of Economic Complexity and GDP Effect on Inflation Rate and Income Inequality in Persian Gulf States 2002 -2015." Mapta Journal of Mechanical and Industrial Engineering (MJMIE) 2, no. 3 (December 20, 2018): 31–39. http://dx.doi.org/10.33544/mjmie.v2i3.83.

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The purpose of this study was to examine the effect of economic complexity and gross domestic product (GDP) on inflation rate and income inequality between 2002 and 2015. The statistical population of this research is Persian Gulf states, and independent variables are economic complexity and GDP and dependent variables are inflation rate and income inequality. The present research is an applied research and is essentially a descriptive research, and also in terms of methodology, it is considered as a correlational research. The theoretical literature and subjective history and research data collection had been done using library method and document mining method, respectively. Descriptive and inferential statistics have been used to describe and summarize the collected data. Firstly, variance heterogeneity pre-tests, F lemmer test, Hausman test and Jarque-Bera test were used to for analyzing data and then multivariate regression test and Eviews software were used to confirm and reject the research hypotheses. The results of the research show that economic complexity and GDP have a positive and significant effect on inflation rate, while economic complexity and GDP have a negative effect on income inequality.
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44

Hamid, Abdul, Muhammad Said, and Endah Meiria. "Potency and Prospect of Halal Market in Global Industry: An Empirical Analysis of Indonesia and United Kingdom." Business and Management Studies 5, no. 2 (April 25, 2019): 54. http://dx.doi.org/10.11114/bms.v5i2.4167.

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This research aim to describe and prove the correlation and influence between market potency and market prospect to determine the appropriate strategy and policy for halal product market development in Indonesia compared with United Kingdom. The object of this research are total of potential consumer, percentage of buying consumer, average selling price, total of annual average consumption rate, profit estimation, and sales estimation of halal product market in each countries base on halal products and services into fiqh platform. This research use quantitative and qualitative method, which is in quantitative method using estimation of Fixed Effect Methods and the validity examined by AR and Jarque-Bera test. The result of this research find that sales in UK and RI are heavily dependent on changes in time and period in each Country indicated by PER_EFFECT, even though this analysis has used white heterocedasticity approach to eliminate that impact. Potentials and Prospects in the United Kingdom and the Republic of Indonesia have a positive and significant influence on Halal market and both countries have the same potential and prospective behaviour toward the Halal Market, although differing individual country and time or period.
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45

Duchnowski, R., and P. Wyszkowska. "Testing normality of chosen R-estimates used in deformation analysis." Journal of Geodetic Science 10, no. 1 (May 4, 2020): 7–13. http://dx.doi.org/10.1515/jogs-2020-0002.

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AbstractThe normal distribution is one of the most important distribution in statistics. In the context of geodetic observation analyses, such importance follows Hagen’s hypothesis of elementary errors; however, some papers point to some leptokurtic tendencies in geodetic observation sets. In the case of linear estimators, the normality is guaranteed by normality of the independent observations. The situation is more complex if estimates and/or the functional model are not linear. Then the normality of such estimates can be tested theoretically or empirically by applying one of goodness-of-fit tests.This paper focuses on testing normality of selected variants of the Hodges-Lehmann estimators (HLE). Under some general assumptions the simplest HLEs have asymptotical normality. However, this does not apply to the Hodges-Lehmann weighted estimators (HLWE), which are more applicable in deformation analysis. Thus, the paper presents tests for normality of HLEs and HLWEs. The analyses, which are based on Monte Carlo method and the Jarque–Bera test, prove normality of HLEs. HLWEs do not follow the normal distribution when the functional model is not linear, and the accuracy of observation is relatively low. However, this fact seems not important from the practical point of view.
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46

Kim, Shin Young, Benedikt Sapotta, Gilsoo Jang, Yong-Heack Kang, and Hyun-Goo Kim. "Prefeasibility Study of Photovoltaic Power Potential Based on a Skew-Normal Distribution." Energies 13, no. 3 (February 4, 2020): 676. http://dx.doi.org/10.3390/en13030676.

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Solar energy does not always follow the normal distribution due to the characteristics of natural energy. The system advisor model (SAM), a well-known energy performance analysis program, analyzes exceedance probabilities by dividing solar irradiance into two cases, i.e., when normal distribution is followed, and when normal distribution is not followed. However, it does not provide a mathematical model for data distribution when not following the normal distribution. The present study applied the skew-normal distribution when solar irradiance does not follow the normal distribution, and calculated photovoltaic power potential to compare the result with those using the two existing methods. It determined which distribution was more appropriate between normal and skew-normal distributions using the Jarque–Bera test, and then the corrected Akaike information criterion (AICc). As a result, three places in Korea showed that the skew-normal distribution was more appropriate than the normal distribution during the summer and winter seasons. The AICc relative likelihood between two models was more than 0.3, which showed that the difference between the two models was not extremely high. However, considering that the proportion of uncertainty of solar irradiance in photovoltaic projects was 5% to 17%, more accurate models need to be chosen.
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47

Pula, Lekë, and Alban Elshani. "Role of Public Expenditure in Economic Growth: Econometric Evidence from Kosovo 2002–2015." Baltic Journal of Real Estate Economics and Construction Management 6, no. 1 (June 28, 2018): 74–87. http://dx.doi.org/10.2478/bjreecm-2018-0006.

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Abstract The aim of the study is to examine the impact of public expenditure on economic growth of Kosovo. Time series data span for the period of time 2002-2015. The structure of the econometric model is built on Keynesian theories and endogenous growth model. The model estimation is performed only after implementing the Augmented Dickey-Fuller (ADF) Unit Root test to estimate if time series are stationary. Several tests have been implemented to determine model validity. The model has met all the assumptions of statistical tests: error term residuals have a normal distribution (Jarque-Bera test), there is no auto-correlation between variables (Breusch-Godfrey Serial test), and error variances are constant, known as the principle of homoscedasticity (Breusch-Pagan-Godfrey test). Gross domestic product is used as a dependent variable in the model, while public expenditure (G), foreign direct investment (FDI), export (EXP) and total budget revenue (TrTax) are used as the endogenous variables. The study results have revealed that there is a positive and statistically significant effect of public expenditures and exports on economic growth. Total budget revenue has a positive impact on economic growth but this has not been proved to be statistically significant. The authors of the research have also found out that FDI is negative and statistically insignificant.
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48

Bigović, Miloš. "Demand forecasting within Montenegrin tourism using Box-Jenkins methodology for seasonal ARIMA models." Tourism and hospitality management 18, no. 1 (June 2012): 1–18. http://dx.doi.org/10.20867/thm.18.1.1.

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The purpose of this paper is to construct adequate seasonal ARIMA models, using Box-Jenkins methodology, and to implement them in order to forecast short run flows of tourist arrivals and tourist overnight stays in Montenegro. Time scope covers ten years, from 2001/01 to 2010/12, while twelve months of 2011 are out-of-sample forecasts. Close inspection of related time series was applied which revealed no extreme and unusual specificities in the data. Therefore, only economic impacts have been affected the time series. This was important because econometric intervention analysis was excluded from models designing and building. As a result, our approach was based on time series modelling without need to take care of any structural breaks. Modified Box-Pierce and Jarque-Bera test statistics confirmed good quality of the models. Further, the results show excellent forecasting performances of specified models. According to forecasting output, Montenegro can expect upgrowth in terms of tourist arrivals as well as in terms of tourist overnight stays. The model has shown around 7,25% rise in arrivals, which is about 91 thousands tourists more in 2011 compared with the previous year. On the other hand, the calculated rise of overnight stays is around 8,42%, or about 670 thousands more than the year before.
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49

Henaulu, Agung K., and Sony Ardian. "Uji Statistika Kualitas Pelayanan Bagi Wisatawan Difabel Pada Wisata Bahari (Studi Kasus Daerah Wisata Desa Suli)." Jurnal Sains, Teknologi dan Industri 18, no. 1 (December 28, 2020): 43. http://dx.doi.org/10.24014/sitekin.v18i1.11402.

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Tujuan dari penelitian ini adalah untuk menguji kualitas pelayanan pengelola wisata bahari daerah desa Suli dengan pendekatan uji statistika. Dengan hipotesis apakah variabel independen responsivenes, reliabilit, assurance, emphaty, tangibles berpengaruh positif (signifikan) terhadap kualitas pelayanan, dan apakah seluruh variabel independen tersebut secara simultan bersama-sama berpengaruh positif terhadap kualitas pelayanan. Saat ini kebutuhan berwisata menjadi kebutuhan penting, sebab dengan berwisata diperoleh pengalaman, informasi, dan pengetahuan baru. Semua itu bisa diperoleh, manakala layanan yang diberikan pengelola sangat berkesan, khususnya wisatwan difabel. Hasil penelitian menunjukkan bahwa uji reliabilitas dengan nilai spearman-brown adalah 0,9352 sehingga masuk kategori sangat tinggi. Uji normalitas menggunakan metode Kolmogorov-Smirnov dan Jarque-Bera memiliki nilai p-value masing-masing adalah 0,779 dan 0,809 > 0,05 maka asumsi data terpenuhi. Uji mutikoliniieritas menunjukkan nilai variance inflation factor memiliki nilai < 10 maka tidak terjadi multikolinieritas. Uji homoskedastisitas terpenuhi dengan nilai p-value (sig) seluruh variabel independen > 0,05. Uji non-autocorrelation menggunakan Durbin-Watson dengan range nilai adalah 1 – 3 yakni 2,36. Uji koefisien determinasi dihasilkan bilai koefisien determinasi sebesar 0,8042 sangat mendekati nilai atau jauh dari nilai 0. Dan pada uji F, nilai p-value­ memiliki tingkat signifikansi < 0,05, maka seluruh variabel independen secara bersama-sama mempengaruhi variabel dependen.
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50

Adejare, Adegbite Tajudeen. "Taxation and Transportation: Granger Causality Approach in Nigeria." Studia Universitatis „Vasile Goldis” Arad – Economics Series 31, no. 3 (July 23, 2021): 1–20. http://dx.doi.org/10.2478/sues-2021-0011.

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Abstract This study gauges taxation's effect on transportation from 1981 to 2019 in Nigeria. This study further assesses the bearing of causality among Transportation, Corporate tax, Petroleum profit tax, Value added tax and Custom and Excise duties. Analytical tools such as VECM, Johanson Test for Cointegration, Vector Autoregression and granger causality Wald (GCW) test are adopted for analysis. Diagnosis tests such as the Lagrange-multiplier test, Jarque-Bera test and Eigenvalue stability condition are carried out to examine autocorrelation, stability and normality tests respectively. Outcomes divulge that corporate tax has a positive short-run and long-run influence on transportation. Petroleum profit tax, Value added tax and Custom and Excise duties also impact transportation positively and significantly both in the long run and short run as deduced from empirical analysis. This reveals that all the components of taxation observed influence transportation positively both in the long run and short run in Nigeria. Conclusively, taxation impacts transportation positively and significantly both in the short run and long run. This translates that taxation income has been utilized effectively to upsurge transportation in Nigeria. It predicts that transportation will perform excellently in terms of economic development and employment generation if taxable income is properly monitored and utilized effectively.
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