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# JarqueBera test

In statistics, the JarqueBera test is a goodness-oft test of whether sample data have the skewness and
kurtosis matching a normal distribution. The test is
named after Carlos Jarque and Anil K. Bera. The test
statistic JB is dened as

JB =

nk+1
6

In MATLAB's implementation, the chi-squared approximation for the JB statistics distribution is only used for
large sample sizes (> 2000). For smaller samples, it uses
a table derived from Monte Carlo simulations in order to
interpolate p-values.[1]

)
(
1
S 2 + (C 3)2
4

1 History

where n is the number of observations (or degrees of free- Considering normal sampling, and 1 and 2 contours,
noticed that the statistic JB
dom in general); S is the sample skewness, C is the sample Bowman & Shenton (1975)
2
will
be
asymptotically

(2)-distributed;
however they
kurtosis, and k is the number of regressors:
also noted that large sample sizes would doubtless be required for the 2 approximation to hold. Bowman and
n
Shelton did not study the properties any further, prefer1
(xi x
)3

3
,
S = 3 = ( n i=1
ring DAgostinos K-squared test.
)
n
1

2 3/2
(x

)
i
i=1
n
C=

n
1
)4

4
i=1 (xi x
n
=
( 1 n
)2 ,
4

(xi x
)2
n

## 2 JarqueBera test in regression

analysis

i=1

where
3 and
4 are the estimates of third and fourth
central moments, respectively, x
is the sample mean, and According to Robert Hall, David Lilien, et al. (1995)

2 is the estimate of the second central moment, the when using this test along with multiple regression analvariance.
ysis the right estimate is:
If the data comes from a normal distribution, the JB statistic asymptotically has a chi-squared distribution with two
(
)
nk
1
degrees of freedom, so the statistic can be used to test the
2
2
JB =
S + (C 3)
hypothesis that the data are from a normal distribution.
6
4
The null hypothesis is a joint hypothesis of the skewness
being zero and the excess kurtosis being zero. Samples where n is the number of observations and k is the number
from a normal distribution have an expected skewness of of regressors when examining residuals to an equation.
0 and an expected excess kurtosis of 0 (which is the same
as a kurtosis of 3). As the denition of JB shows, any
deviation from this increases the JB statistic.
3 Implementations
For small samples the chi-squared approximation is
overly sensitive, often rejecting the null hypothesis when
it is true. Furthermore, the distribution of p-values departs from a uniform distribution and becomes a rightskewed uni-modal distribution, especially for small pvalues. This leads to a large Type I error rate. The table below shows some p-values approximated by a chisquared distribution that dier from their true alpha levels for small samples.

## ALGLIB includes implementation of the Jarque

Bera test in C++, C#, Delphi, Visual Basic, etc.
gretl includes an implementation of the JarqueBera
test
R includes implementations of the JarqueBera test:
jarque.bera.test in package tseries,[2] for example,
and jarque.test in package moments.[3]
MATLAB includes implementation of the Jarque
Bera test, the function jbtest.
Python statsmodels includes implementation of the
JarqueBera test, statsmodels.stats.stattools.py.

## (These values have been approximated by using Monte

Carlo simulation in Matlab)
1

References

[1] Analysis of the JB-Test in MATLAB. MathWorks. Retrieved May 24, 2009.
[2] tseries: Time Series Analysis and Computational Finance. R Project.
[3] moments: Moments, cumulants, skewness, kurtosis and
related tests. R Project.

Bowman, K.O.; Shenton, L.R. (1975). Omnibus
contours for departures from normality based on
b1 and b2 ". Biometrika. 62 (2): 243250.
doi:10.1093/biomet/62.2.243. JSTOR 2335355.
Jarque, Carlos M.; Bera, Anil K. (1980). Ecient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters. 6 (3): 255259. doi:10.1016/01651765(80)90024-5.
Jarque, Carlos M.; Bera, Anil K. (1981). Ecient tests for normality, homoscedasticity and serial independence of regression residuals: Monte
Carlo evidence. Economics Letters. 7 (4): 313
318. doi:10.1016/0165-1765(81)90035-5.
Jarque, Carlos M.; Bera, Anil K. (1987). A test for
normality of observations and regression residuals.
International Statistical Review. 55 (2): 163172.
JSTOR 1403192.
Judge; et al. (1988). Introduction and the theory and
practice of econometrics (3rd ed.). pp. 890892.
Hall, Robert E.; Lilien, David M.; et al. (1995).
EViews User Guide. p. 141.

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