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A simple artificial regression based Lagrange multiplier test of normality in the probit model
Author(s)
Date Issued
1994-07
Date Available
2010-05-10T16:33:24Z
Abstract
A convenient artifical regression based LM test of non-normality in the probit model is derived using a Gram Charlier type A alternative. The test is simply derived and may be extended to the bivariate probit case. The outer product gradient form of LM test is not used so the proposed test is likely to perform reasonably well in small samples. The test is compared with two other existing tests.
External Notes
A hard copy is available in UCD Library at GEN 330.08 IR/UNI
Sponsorship
Not applicable
Type of Material
Working Paper
Publisher
University College Dublin. School of Economics
Series
UCD Centre for Economic Research Working Paper Series
WP94/22
Classification
C35
Subject – LCSH
Probits
Econometrics--Mathematical models
Regression analysis
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
File(s)
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Name
wp94_22.pdf
Size
329.83 KB
Format
Adobe PDF
Checksum (MD5)
dfd97f184122307bb8490827a23b58d8
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