The Jarque-Bera Test
Chi-square with two degrees of freedom.
Where S is a measure of skewness and K is a measure of Kurtosis and n is the sample
size
Stata Calculations
reg y x2-x7
. predict e , re
. g e2 = e^2
. g e3 = e^3
. g e4 = e^4
. egen m2 = mean(e2)
. egen m3 = mean(e3)
. egen m4 = mean(e4)
. g S = m3/m2^1.5
. g K = m4/m2^2
. g jb = (_N/6)*(S^2+(K-3)^2/4)
di jb
2.6859879
display chiprob(2 ,jb )
.2610629
.