A measure of skewness for testing departures from normality

Abstract

We propose a new skewness test statistic for normality based on the Pearson measure of skewness. We obtain asymptotic first four moments of the null distribution for this statistic by using a computer algebra system and its normalizing transformation based on the Johnson $S_U$ system. Finally the performance of the proposed statistic is shown by comparing the powers of several skewness test statistics against some alternative hypotheses.

17 pages, 8 figures