A simple artificial regression based Lagrange multiplier test of normality in the probit model
|Title:||A simple artificial regression based Lagrange multiplier test of normality in the probit model||Authors:||Murphy, Anthony||Permanent link:||http://hdl.handle.net/10197/1951||Date:||Jul-1994||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.||Funding Details:||Not applicable||Type of material:||Working Paper||Publisher:||University College Dublin. School of Economics||Series/Report no.:||UCD Centre for Economic Research Working Paper Series; WP94/22||Keywords:||Probit; Lagrange multiplier test; Non-normality; Gram Charlier series; Artificial regression; Outer product gradient||Subject LCSH:||Probits
|Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Economics Working Papers & Policy Papers|
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