Re: [Gretl-users] Possible redundancy of some function packages?

On Fri, 7 Nov 2014, yinung at Gmail wrote: > 2014-11-06 0:14 GMT+08:00 Sven Schreiber <svetosch(a)gmx.net&gt;: > >> Hi everybody, >> >> 6) "JB" by Yi-Nung Yang. This does a Jarque-Bera test and even the help >> text mentions that it is built into gretl (as "normtest ... --jbera"). >> So it's not obvious to me what the purpose of the package is. >> > > "JB" package was written by me before it was built into gretl. > Actually, I > am glad to see it as a built-in command now. However, there would be > still > a possible small improvement on this built-in command. > > JB is often used on checking the residuals of OLS in which the degree of > freedom should be taken into account in calculating the JB statistic. The > current "normtest" might consider adding a parameter specifying the > number > of coefficients in OLS if it is used on checking the residuals. That > would > make little numerical difference (for example, see codes below), but it > might be import in teaching undergraduate econometrics. I beg to differ: the JB test is a LM test of the null of normality versus the alternative hypothesis that the "real" distribution belongs to the Pearson family. All its properties rely on asymptotics: it is _possible_ that some degrees-of-freedom adjustment may marginally improve its size/power properties, but I'm not aware of any evidence on this.