Abstract
This study examines population and small sample properties of the standardized fifth and sixth moments – the “higher moments” – for assessing univariate normality against bimodal and selected unimodal alternatives. Population parameters and distributions for selected bimodal mixtures are calculated and contrasted with those for the normal distribution. Using Gram-Charlier series expansion methods, an omnibus goodness of fit test incorporating the higher moments is specified and Monte Carlo simulation used to compare test power with parametric tests based on the standardized third and fourth sample moments: the asymptotic and size corrected versions of the Jarque-Bera score test and the omnibus D’Agostino K2 test. The studentized range and directional tests using the third through sixth moments are also considered. The results demonstrate that incorporating the fifth and sixth moments can provide enhanced parametric normality test power for bimodal normal mixture alternatives but not for various unimodal alternatives.
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