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A robust rescaled moment test for normality in regression. (English) Zbl 1185.62092

Summary: Most of the statistical procedures heavily depend on the normality assumption of observations. In regression, we assume that the random disturbances were normally distributed. Since the disturbances were unobserved, normality tests were done on regression residuals. But it is now evident that normality tests on residuals suffer from superimposed normality and often possess very poor power. This study showed that normality tests suffer huge set back in the presence of outliers. We proposed a new robust omnibus test based on rescaled moments and coefficients of skewness and kurtosis of residuals that we call robust rescaled moment test. Numerical examples and Monte Carlo simulations showed that this proposed test performs better than the existing tests for normality in the presence of outliers. We recommend using our proposed omnibus test instead of the existing tests for checking the normality of the regression residuals.

MSC:

62G10 Nonparametric hypothesis testing
62G08 Nonparametric regression and quantile regression
62G35 Nonparametric robustness
65C05 Monte Carlo methods