Score Tests of Normality in Bivariate Probit Models
Anthony Murphy ()
Econometrics from University Library of Munich, Germany
A relatively simple and convenient score test of normality in the bivariate probit model is derived. Monte Carlo simulations show that the small sample performance of the bootstrapped test is quite good. The test may be readily extended to testing normality in related models.
Keywords: Score test; bivariate probit; normality; Gram-Charlier series (search for similar items in EconPapers)
JEL-codes: C25 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Note: Type of Document - pdf; pages: 10
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Journal Article: Score tests of normality in bivariate probit models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0512004
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