(Universidad Icesi, 2015-07-01) Alonso Cifuentes, Julio César; Montenegro, Sebastián
The objective of this study is to assess the statistical power and size of 8 normality tests in presence of
first-order autoregressive errors and different simple sizes. Using aMonte Carlo experiment, the following
tests were compared: Cramér-von Mises, Anderson-Darling, Lilliefors, Pearson, Shapiro-Wilk, ShapiroFrancia,
Jarque-Bera and D’Agostino-Pearson. Our results show 4 relevant findings: First, an asymmetrical
effect of autocorrelation on the power and size of the tests. Second, the statistical size of all tests is affected
by the autocorrelation. Third, none of the tests has greater power than the others. Fourth, the power of
the normality test decreases as sample size decreases.
