Abstract:
The cumulant based normality test after outlier removal is analyzed. It is shown that the standard least squares normalizations can be misleading in this context. The sample cumulants should be standardized according to the truncation imposed at the removal stage and the estimation method being used. New standardizations that lead to chi-squared inference are derived.
Citation:
Berenguer-Rico, V., & Nielsen, B. (2023), 'Normality testing after outlier removal' Econometrics and Statistics, Elsevier BV, https://doi.org/10.1016/j.ecosta.2023.06.001