h = jbtest(x) returns
a test decision for the null hypothesis that the data in vector x comes
from a normal distribution with an unknown mean and variance, using
the Jarque-Bera test.
The alternative hypothesis is that it does not come from such a distribution.
The result h is 1 if the test
rejects the null hypothesis at the 5% significance level, and 0 otherwise.

h = jbtest(x,alpha,mctol) returns
a test decision based on a p-value computed using
a Monte Carlo simulation with a maximum Monte Carlo standard error less
than or equal to mctol.

Test the null hypothesis that car mileage in miles per
gallon (MPG) follows a normal distribution across
different makes of cars at the 1% significance level.

[h,p] = jbtest(MPG,0.01)

h =
1
p =
0.0022

The returned value of h = 1, and the returned p-value
less than α = 0.01 indicate that jbtest rejects
the null hypothesis.

Test the null hypothesis that car mileage, in miles per
gallon (MPG), follows a normal distribution across
different makes of cars. Use a Monte Carlo simulation to obtain an
exact p-value.

[h,p,jbstat,critval] = jbtest(MPG,[],0.0001)

h =
1
p =
0.0022
jbstat =
18.2275
critval =
5.8461

The returned value of h = 1 indicates that jbtest rejects
the null hypothesis at the default 5% significance level. Additionally,
the test statistic, jbstat, is larger than the
critical value, critval, which indicates rejection
of the null hypothesis.

Significance level of the hypothesis test, specified as a scalar
value in the range (0,1). If alpha is in the range
[0.001,0.50], and if the sample size is less than or equal to 2000, jbtest looks
up the critical value for the test in a table of precomputed values.
To conduct the test at a significance level outside of these specifications,
use mctol.

Maximum Monte
Carlo standard error for the p-value, p,
specified as a nonnegative scalar value. If you specify a value for mctol, jbtest computes
a Monte Carlo approximation for p directly, rather
than interpolating into a table of precomputed values. jbtest chooses
the number of Monte Carlo replications large enough to make the Monte
Carlo standard error for p less than mctol.

If you specify a value for mctol, you must
also specify a value for alpha. You can specify alpha as [] to
use the default value of 0.05.

p-value of the test, returned as a scalar
value in the range (0,1). p is the probability
of observing a test statistic as extreme as, or more extreme than,
the observed value under the null hypothesis. Small values of p cast
doubt on the validity of the null hypothesis.

jbtest warns when p is
not found within the tabulated range of [0.001,0.50], and returns
either the smallest or largest tabulated value. In this case, you
can use mctol to compute a more accurate p-value.

Critical value for the Jarque-Bera test at the alpha significance
level, returned as a nonnegative scalar value. If alpha is
in the range [0.001,0.50], and if the sample size is less than or
equal to 2000, jbtest looks up the critical value
for the test in a table of precomputed values. If you use mctol, jbtest determines
the critical value of the test using a Monte Carlo simulation. The
null hypothesis is rejected when jbstat > critval.

The Jarque-Bera test is a two-sided goodness-of-fit
test suitable when a fully specified null distribution is unknown
and its parameters must be estimated.

The test is specifically designed for alternatives in the Pearson
system of distributions. The test statistic is

where n is the sample size, s is
the sample skewness, and k is the sample kurtosis.
For large sample sizes, the test statistic has a chi-square distribution
with two degrees of freedom.

where $$\widehat{p}$$ is
the estimated p-value of the hypothesis test, and mcreps is
the number of Monte Carlo replications performed. jbtest chooses
the number of Monte Carlo replications, mcreps,
large enough to make the Monte Carlo standard error for $$\text{p^}$$ less than the value specified
for mctol.

Jarque-Bera tests often use the chi-square distribution to estimate
critical values for large samples, deferring to the Lilliefors test
(see lillietest) for small samples. jbtest,
by contrast, uses a table of critical values computed using Monte
Carlo simulation for sample sizes less than 2000 and significance
levels from 0.001 to 0.50. Critical values for a test are computed
by interpolating into the table, using the analytic chi-square approximation
only when extrapolating for larger sample sizes.

[1] Jarque, C. M., and A. K. Bera. "A
Test for Normality of Observations and Regression Residuals." International
Statistical Review. Vol. 55, No. 2, 1987, pp. 163–172.

[2] Deb, P., and M. Sefton. "The Distribution
of a Lagrange Multiplier Test of Normality." Economics
Letters. Vol. 51, 1996, pp. 123–130. This paper
proposed a Monte Carlo simulation for determining the distribution
of the test statistic. The results of this function are based on an
independent Monte Carlo simulation, not the results in this paper.