# Jarque–Bera test

In statistics, the **Jarque–Bera test** is a goodness-of-fit 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 defined as

where *n* is the number of observations (or degrees of freedom in general); *S* is the sample skewness, and *K* is the sample kurtosis:

where and are the estimates of third and fourth central moments, respectively, is the sample mean, and is the estimate of the second central moment, the variance.

If the data come from a normal distribution, the *JB* statistic asymptotically has a chi-squared distribution with two degrees of freedom, so the statistic can be used to test the hypothesis that the data are from a normal distribution. The null hypothesis is a joint hypothesis of the skewness being zero and the excess kurtosis being zero. Samples from a normal distribution have an expected skewness of 0 and an expected excess kurtosis of 0 (which is the same as a kurtosis of 3). As the definition of *JB* shows, any deviation from this increases the JB statistic.

For small samples the chi-squared approximation is overly sensitive, often rejecting the null hypothesis when it is in fact true. Furthermore, the distribution of p-values departs from a uniform distribution and becomes a right-skewed uni-modal distribution, especially for small p-values. This leads to a large Type I error rate. The table below shows some p-values approximated by a chi-squared distribution that differ from their true alpha levels for small samples.

Calculated p-value equivalents to true alpha levels at given sample sizes True α level 20 30 50 70 100 0.1 0.307 0.252 0.201 0.183 0.1560 0.05 0.1461 0.109 0.079 0.067 0.062 0.025 0.051 0.0303 0.020 0.016 0.0168 0.01 0.0064 0.0033 0.0015 0.0012 0.002

(These values have been approximated by using Monte Carlo simulation in Matlab)

In MATLAB's implementation, the chi-squared approximation for the JB statistic's 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]}

## History

Considering normal sampling, and √*β*_{1} and *β*_{2} contours, Template:Harvtxt noticed that the statistic *JB* will be asymptotically *χ*^{2}(2)-distributed; however they also noted that “large sample sizes would doubtless be required for the *χ*^{2} approximation to hold”. Bowman and Shelton did not study the properties any further, preferring D’Agostino’s K-squared test.

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## Jarque–Bera test in regression analysis

According to Robert Hall, David Lilien, et al. (1995) when using this test along with multiple regression analysis the right estimate is:

where *n* is the number of observations and *k* is the number of regressors when examining residuals to an equation.

## References

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## Implementations

- ALGLIB includes implementation of the Jarque–Bera test in C++, C#, Delphi, Visual Basic, etc.
- gretl includes an implementation of the Jarque–Bera test
- R includes implementations of the Jarque–Bera test:
*jarque.bera.test*in package*tseries*, for example, and*jarque.test*in package*moments*. - MATLAB includes implementation of the Jarque–Bera test, the function "jbtest".
- Python statsmodels includes implementation of the Jarque–Bera test, "statsmodels.stats.stattools.py".