{smcl}
{* 31aug2007/7apr2009}{...}
{hline}
help for {hi:omninorm}
{hline}
{title:Omnibus test for univariate or multivariate normality}
{p 8 17 2}{cmd:omninorm}
{it:varlist}
[{cmd:if} {it:exp}]
[{cmd:in} {it:range}]
[{cmd:,}
{cmdab:all:obs}
{cmd:by(}{it:byvar}{cmd:)}
{cmdab:miss:ing}
{cmdab:marg:inals}
]
{p 4 4 2}{cmd:by ... :} may also be used with {cmd:omninorm}: see help
on {help by}. {it:varlist} may contain time-series operators; see help
on {help varlist}.
{title:Description}
{p 4 4 2}{cmd:omninorm} performs an omnibus test for normality on one or
several variables proposed by Doornik and Hansen (1994, 2008), itself based on
a test by Shenton and Bowman (1977). The test statistic is based on
transformations of skewness and kurtosis that are much closer to
standard normal than the raw moment measures. The test may be applied to
a set of variables, such as the residuals from a multivariate
regression. Doornik and Hansen conducted simulations that illustrate
that this test will generally have better size and power than several
proposed in the literature, including the multivariate Shapiro-Wilk test
of Royston (1983). They find that their omnibus test "is simple, has
correct size and good power properties" (Doornik and Hansen 2008, p.936).
{p 4 4 2}Under the null hypothesis of normality of the specified k variables,
the test statistic is distributed chi-squared with 2 k degrees of
freedom. An asymptotic form of the test is also provided, which is essentially
a multivariate equivalent of the Bowman and Shenton (1975) test, which those
authors consider "unsuitable, except in very large samples" (Doornik
and Hansen 2008, p.928).
{title:Options}
{p 4 8 2}{cmd:allobs} specifies use of the maximum possible number of
observations for each variable. The default is to use only those
observations for which all variables in {it:varlist} are not missing.
This option bites only if {cmd:marginals} is also specified.
{p 4 8 2}{cmd:by()} specifies a variable defining distinct groups for
which statistics should be calculated. {cmd:by()} is allowed only with a
single {it:byvar}. The choice between {cmd:by:} and {cmd:by()} is
partly one of precisely what kind of output display is required. The
display with {cmd:by:} is clearly structured by groups while that with
{cmd:by()} is more compact. To show statistics for the marginal
distributions of several variables and several groups with a single call
to {cmd:omninorm}, the display with {cmd:by:} is essential.
{p 4 8 2}{cmd:marginals} specifies that whenever several variables
are specified, univariate (i.e. marginal) tests are to be carried out for
each.
{p 4 8 2}{cmd:missing} specifies that with the {cmd:by()} option
observations with missing values of {it:byvar} should be included in
calculations. The default is to exclude them.
{title:Examples}
{p 4 8 2}{stata "use http://fmwww.bc.edu/ec-p/data/micro/iris,clear": . use http://fmwww.bc.edu/ec-p/data/micro/iris,clear}{p_end}
{p 4 8 2}{stata "omninorm set_sepl set_sepw set_petw set_petl": . omninorm set_sepl set_sepw set_petw set_petl}{p_end}
{p 4 8 2}{stata "omninorm set_sepl set_sepw set_petw set_petl, marginals" : . omninorm set_sepl set_sepw set_petw set_petl, marginals}
{marker s_citation}{title:Citation of omninorm}
{p 4 4 2}{cmd:omninorm} is not an official Stata command.
It is a free contribution
to the research community, like a paper. Please cite it as such: {p_end}
{phang}Baum, C.F., Cox, N.J. 2007.
omninorm: Stata module to calculate omnibus test for univariate/multivariate normality.
{browse "http://ideas.repec.org/c/boc/bocode/s417501.html":http://ideas.repec.org/c/boc/bocode/s417501.html}{p_end}
{title:Acknowledgments}
{phang}We are grateful to William Gould for assistance with Mata programming.
{title:Authors}
{p 4 4 2}Christopher F. Baum, Boston College, USA{break}
baum@bc.edu
{p 4 4 2}Nicholas J. Cox, Durham University, U.K.{break}
n.j.cox@durham.ac.uk
{title:References}
{p 4 8 2}
Bowman, K.O. and Shenton, L.R.
1975.
Omnibus test contours for departures from normality based on root-b1 and b2.
{it:Biometrika} 62: 243{c -}250.
{p 4 8 2}
Doornik, Jurgen A. and Hansen, Henrik.
1994.
An omnibus test for univariate and multivariate normality.
Working Paper, Nuffield College, University of Oxford. See
{browse "http://ideas.repec.org/p/nuf/econwp/9604.html":http://ideas.repec.org/p/nuf/econwp/9604.html}
or
{browse "http://www.doornik.com/research/normal2.pdf":http://www.doornik.com/research/normal2.pdf}
{p 4 8 2}
Doornik, Jurgen A. and Hansen, Henrik.
2008.
An omnibus test for univariate and multivariate normality.
{it:Oxford Bulletin of Economics and Statistics}
70: 927{c -}939.
{p 4 8 2}
Royston, J.P.
1983.
Some techniques for assessing multivariate normality based on the Shapiro-Wilk W.
{it:Applied Statistics} 32: 121{c -}133.
{p 4 8 2}
Shenton, L.R. and Bowman, K.O.
1977.
A bivariate model for the distribution of root-b1 and b2.
{it:Journal of the American Statistical Association} 72: 206{c -}211.
{title:Saved results}
{p 4 4 2}(for last-named variable or group only)
r(df) degrees of freedom of test
r(k) number of variables in test
r(dhansen) Doornik-Hansen test statistic
r(p_dhansen) P-value of above
r(asy) asymptotic test statistic
r(p_asy) P-value of above
{title:Also see}
{p 4 13 2}
Online: {help sktest}, {help swilk}