AN OMNIBUS TEST FOR UNIVARIATE AND MULTIVARIATE NORMALITY

 

Jurgen A. Doornik

Nuffield College, Oxford University

and

Henrik Hansen

Institute of Economics, University of Copenhagen

 

September 15, 1954

 

Abstract

We suggest an easy to use version of the omnibus test for normality using skewness and kurtosis based on Shenton and Bowman (1977) which controls well for size. A multivariate version is introduced. Size and power are investigated in comparison with four other tests for multivariate normality. The alternative hypothesis in the power simulations is the whole Johnson system of distributions.

Some key words: Johnson system; Kurtosis; Multivariate normality test; Skewness; Univariate normality test; Wilson-Hilferty transformation.