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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)
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5 FURTHER READING

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.

Further reading
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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