Abstract
Vasicek has introduced an omnibus test for normality based on Shannon's entropy. The omnibus test has high sensitivity over a wide range of alternative distributions. In this paper, we extend the test to a directional test which has higher sensitivity on a specific direction of deviation from normality. The new test is besed on Renyi's entropy of order γ which is the generalized concept of Shannon's entropy. The power of the proposed test in investigated by empirical sampling studies for some alternative distributions.
