Tests of univariate/multivariate kurtosis and skewness ------------------------------------------------------
^normtest^ varlist [^if^ exp][^in^ range]
Description -----------
Computes measures and tests of univariate skew (g1, sqrt(b1)) and kurtosis (g2 and b2-3), and two omnibus tests of normality: namely D'agostino & Pearson K sq, and Jarque-Bera LM.
Fisher's g statistics are given, while "sqrt(b1)" and "b2" are already computed by Stata's ^summarize^ command when specifying the "detail" option.
D'agostino & Pearson Ksq is similar to Shapiro-Wilk W.
Computes measures and tests of multivariate skew (Small's Q1 and Srivastava's b1p) and kurtosis (Small's Q2, Srivastava's b2p, and Mardia's b2p), plus an omnibus test which combines VQ1 and VQ2.
Finally shows the 5 observations with larger Mahalanobis distances, and graphs the ordered squared distances.
Note ----
This ado draws on a SPSS macro by Prof. Lawrence DeCarlo (decarlo@exchange.tc.columbia.edu). I'm also grateful to Brendan Halpin (brendan@essex.ac.uk).
Also see --------
Manual: ^[R] sktest^ ^[R] swilk^ ^[R] sfrancia^
Lawrence T. DeCarlo (1997) "On the meaning and use of kurtosis" Psychological Methods, 2(3), pp292-307.