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st: -omninorm- updated on SSC

From   Marcello Pagano <>
Subject   st: -omninorm- updated on SSC
Date   Wed, 15 Apr 2009 11:06:22 -0400

The package -omninorm- on SSC by Kit Baum and myself has been updated.
-omninorm- requires Stata 9 (except for the older version, -omninorm7-,
frozen as was, which requires only Stata 7). To install, use -ssc-.
The update is in one sense minor, but still notable for people
interested in what -omninorm- does, provide an omnibus test for
univariate or multivariate normality.
-omninorm- implements a test proposed by Doornik and Hansen in a 1994
working paper (highly accessible and much cited). That working paper has
now been written up as a standard journal paper, which should satisfy
anybody queasy about using ideas that have not received the
sanctification of peer review for a journal. The 2008 reference has now
been included in the help file.
   Doornik, Jurgen A. and Hansen, Henrik.  1994.  An omnibus test
       for univariate and multivariate normality.  Working Paper,
       Nuffield College, University of Oxford. See or

   Doornik, Jurgen A. and Hansen, Henrik.  2008.  An omnibus test
       for univariate and multivariate normality.  Oxford Bulletin
       of Economics and Statistics 70: 927-939.

This test is widely used in other statistical software.
At least one of us most of the time, and both of us some of the time,
regard normality tests as over-rated. If you care about normality, draw
a plot. If you care about normality, wonder why, as normality is less
often an assumption, and less often an important assumption, than is
frequently asserted or believed.
That said, if you are going to test for normality, the arguments in the
Doornik and Hansen paper should lead you to treat their test as a good
competitor, and at least in some senses as superior to those previously
implemented in Stata. What's more, most of the alternatives only provide
univariate tests. Nick

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