Bob Jensen emailed me about my recent post about the way in which the Jarque-Bera test can be impacted when temporally aggregated data are used. Apparently he publicized my post on the listserv for Accounting Educators in the U.S.. He also drew my attention to a paper from Two former presidents of the AAA: "Some Methodological Deficiencies in Empirical Research Articles in Accounting", by Thomas R. Dyckman and Stephen A. Zeff, Accounting Horizons, September 2014, 28 (3), 695-712. (Here.)
Bob commented that an even more important issue might be that our data may be non-stationary. Indeed, this is always something that should concern us, and regular readers of this blog will know that non-stationary data, cointegration, and the like have been the subject of a lot of my posts.
In fact, the impact of unit roots on the Jarque-Bera test was mentioned in this old post about "spurious regressions". There, I mentioned a paper of mine (Giles, 2007) in which I proved that: