A simple artificial regression based Lagrange multiplier test of normality in the probit model

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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
Keywords: Probit;Lagrange multiplier test;Non-normality;Gram Charlier series;Artificial regression;Outer product gradient
Subject LCSH: Probits
Econometrics--Mathematical models
Regression analysis
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Economics Working Papers & Policy Papers

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