Jarque–Bera Test and its Competitors for Testing Normality – A Power Comparison

By Thorsten Thadewald, H. Büning. 2007

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Gibbs sampling approach to regime switching analysis of financial time series (2016, methodology): “We underline that, as pointed out by Thadewald and Bünin in [20], the Jarque-Bera test is sometimes subject to errors of the second type.”
Volatility in International Stock Markets: An Empirical Study during COVID-19 (2020, background): “If its value is far-off from zero, this indicates that the sample does not possess a normal distribution (Thadewald and Büning 2007).”
An empirical power comparison of univariate goodness-of-fit tests for normality (2010, methodology): “According to results presented for JB in [9], for α ≥ 0.”