On the Testing of Regression Disturbances for Normality
- 1 June 1974
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 69 (346) , 330
- https://doi.org/10.2307/2285652
Abstract
OLS and BLUS residuals in the classical linear regression model are compared with respect to testing the normality of regression disturbances. It is shown that in theory both types of residuals suffer from the common problem of lack of independence under the alternative hypothesis of nonnormal disturbances. Further, Monte Carlo experiments appear to show the superiority of OLS over BLUS residuals, as well as the superiority of the Shapiro-Wilk test over other tests studied, when one is testing for normality.Keywords
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