What test do you usually use if you want to test if the errors of your regression model are normally distributed? I bet it's the Jarque-Bera (1982, 1987) test. After all, it's a standard feature in pretty well every econometrics package. And with very good reason.
However, there some things relating to this test that you may not have learned in your econometrics courses. Let's take a look at them.
