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Mathematical Methods of Statistics

, Volume 19, Issue 1, pp 64–72 | Cite as

Testing skew normality via the moment generating function

  • S. G. MeintanisEmail author
Article

Abstract

In this paper, goodness-of-fit tests are constructed for the skew normal law. The proposed tests utilize the fact that the moment generating function of the skew normal variable satisfies a simple differential equation. The empirical counterpart of this equation, involving the empiricalmoment generating function, yields appropriate test statistics. The consistency of the tests is investigated under general assumptions, and the finite-sample behavior of the proposed method is investigated via a parametric bootstrap procedure.

Keywords

skew normal distribution goodness-of-fit test moment generating function parametric bootstrap 

2000 Mathematics Subject Classification

62G10 62G20 

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Copyright information

© Allerton Press, Inc. 2010

Authors and Affiliations

  1. 1.Dept. of EconomicsNational and Kapodistrian Univ. of AthensAthensGreece

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