Explanation:
The JB statistic is above the critical value of 5.99; hence, we reject the null hypothesis that the distribution is normal.
(Book 2, Module 23.2, LO 23.d)
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Question 33
A 24-month return series has a sample skewness and sample excess kurtosis of 1.5 and 2.0, respectively. Which of the following most accurately describes the conclusion of a Jarque-Bera (JB) test that this series of returns is normal? (The critical value for the JB statistic at the 5% significance level is 5.99.) The null hypothesis that the distribution is normal should:
A
not be rejected since the test statistic is lower than the critical statistic.
B
be rejected since the test statistic is higher than the critical statistic.
C
not be rejected since the test statistic is higher than the critical statistic.
D
be rejected since the test statistic is lower than the critical statistic.
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