A simple artificial regression based Lagrange multiplier test of normality in the probit model
Anthony Murphy ()
No 199422, Working Papers from School of Economics, University College Dublin
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.
Keywords: Probit; Lagrange multiplier test; Non-normality; Gram Charlier series; Artificial regression; Outer product gradient; Probits; Econometrics--Mathematical models; Regression analysis (search for similar items in EconPapers)
JEL-codes: C35 (search for similar items in EconPapers)
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http://hdl.handle.net/10197/1951 First version, 1994 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:ucn:wpaper:199422
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