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st: -omninorm- updated on SSC

From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   st: -omninorm- updated on SSC
Date   Tue, 4 Sep 2007 20:41:12 +0100

The -omninorm- package has been updated on SSC. To install or replace, use -ssc- as usual. 

-omninorm- implements the Doornik-Hansen test for univariate or multivariate normality, a test based on skewness and kurtosis, but with corrections to make sampling distributions better behaved for small sample sizes. 

The previous implementation by Kit Baum worked with Stata 7 up and is still there on SSC, but is now renamed -omninorm7-. 

-omninorm- itself is now a stand-alone program and is no longer dependent on other programs. Mata is now used for the central calculations and as consequences -omninorm- now is much faster, is free of -matsize- limits and requires Stata 9 or 10. 

As the author of this new version I have joined Kit as second author.

In addition, -omninorm- now supports 
-by()- and -by:- and has a univariate mode. That is, when fed several variables -omninorm- by default performs a test for multivariate normality, but with a -marginals- option it carries out tests for univariate normality on each of those

William Gould provided a tip on Mata which is used. 

[email protected] 

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