Explanation:
The correct answer is D because the Jarque-Bera test is specifically designed to test for normality by examining whether the skewness and kurtosis of a distribution match those of a normal distribution.
A. Incorrect - The Jarque-Bera test statistic does depend on sample size. The formula is: where n is the sample size, S is skewness, and K is kurtosis.
B. Incorrect - The Jarque-Bera test statistic follows a chi-square distribution with 2 degrees of freedom, not a Student's t distribution.
C. Incorrect - The Jarque-Bera test does not require applying a Gaussian copula. It tests raw data for normality directly.
D. Correct - The Jarque-Bera test specifically tests whether the skewness is zero and the kurtosis is 3 (as in a normal distribution). It combines these two measures into a single test statistic.
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An analyst is evaluating a dataset of annual returns for a financial asset. The analyst decides to use the Jarque-Bera test to determine if the returns of the asset are normally distributed. Which of the following is correct regarding the Jarque-Bera test?
A
The Jarque-Bera test statistic does not depend on the sample size of the returns dataset.
B
The Jarque-Bera test statistic follows a Student's t distribution.
C
The Jarque-Bera test requires that a Gaussian copula be applied to the returns data before conducting the test.
D
The Jarque-Bera test only takes into account the skewness and kurtosis of a distribution.
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