Testing normality in bivariate probit models: a simple artificial regression based LM test
Anthony Murphy ()
No 199427, Working Papers from School of Economics, University College Dublin
A simple and convenient LM test of normality in the bivariate probit model is derived. The alternative hypothesis is based on a form of truncated Gram Charlier Type series. The LM test may be calculated as an artificial regression. However, the proposed artificial regression does not use the outer product gradient form. Thus it is likely to perform reasonably well in small samples.
Keywords: Bivariate probit; Normality; Truncated Gram Charlier series; LM test; Artificial regression; 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/10197/1768 First version, 1994 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:ucn:wpaper:199427
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