Abstract
The importance of normal distribution is undeniable since it is an underlying assumption of many statistical procedures such as t-tests ,linear regression analysis, discriminant analysis and analysis of variance(ANOVA).when the normality assumption is violated, interpretation and inferences may not be reliable or valid. The three common procedures in assessing whether a random sample of independent observations of size n come from a population with a normal distribution are; graphical methods (histograms, boxplots, Q-Q-plots),numerical methods (skewness and kurtosis indices) and formal normality teste. this paper*compares the power of four formal tests of normality: Shapiro-Wilk (SW) test, Kolmogorov-Smirnov (KS) tests, Lilliefors (LF) tests and Anderson-Darling (AD) tests. Power comparisons of these four tests were obtained via Monte Carlo simulation of sample data generated from alternative distribution that follow symmetric and asymmetric distribution. Ten thousand samples of various sample size were generated from each of the given alternative symmetric and asymmetric distributions. The power of each test was then obtained by comparing the test of normality statistics with the repective critical values. Results show that Shapiro-Wilk test is the most powerful normality test, followed by by Anderson-Darling test, Lilliefors test and Kolmogorov-Smirnov test. However, the power of all four test is still low for small sample size.