SSE/EFI Working Paper Series in Economics and Finance
Michael K. Andersson
A Normality Test for the Mean Estimator
Abstract: This note proposes a tool to investigate and demonstrate
the adequacy of the central limit theorem in small samples. The suggested
testing procedure provides a method to investigate if the mean estimator is
approximately normally distributed, given data and sample size at hand.
This is important when deciding upon inference procedure, i.e. is
parametric inference possible or do we have to settle for nonparametrics.
The procedure is well-suited for teaching in under-graduate statistics
Keywords: Central limit theorem; Bootstrap; Empirical distribution.; (follow links to similar papers)
JEL-Codes: A22; C12; (follow links to similar papers)
6 pages, February 26, 1999
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