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On the Use of Distributional Mis-specification Checks in Limited Dependent Variable Models

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  • Smith, Richard J

Abstract

A unified approach to testing for distributional misspecification in parametric limited dependent variable models is described and discussed. The approach involves examining the significance of certain moment-type expressions. A form of the test statistic may be obtained as nR(superscript)2 from a simple least squares regression. The procedure is sufficiently general to subsume several tests already described in the literature for particular limited dependent variable models, but to have a wider applicability. Two practical examples, binary choice and duration analysis, are provided both to motivate the procedure and to illustrate the implementation of the methodology. Copyright 1989 by Royal Economic Society.

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 99 (1989)
Issue (Month): 395 (Supplement)
Pages: 178-92

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Handle: RePEc:ecj:econjl:v:99:y:1989:i:395:p:178-92

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Cited by:
  1. James Mitchell & Richard J. Smith & Martin R. Weale, 2002. "Quantification of Qualitative Firm-Level Survey Data," Economic Journal, Royal Economic Society, vol. 112(478), pages C117-C135, March.
  2. Mora Rodriguez, Jhon James, 2013. "Introduccion a la teorĂ­a del consumidor
    [Introduction to Consumer Theory]
    ," MPRA Paper 48129, University Library of Munich, Germany, revised 08 Jul 2013.
  3. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods and Applications, Springer, vol. 22(4), pages 535-572, November.
  4. Teresa Aparicio & Inmaculada Villanua, 2001. "The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(2), pages 167-182.

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