A Simple Representation of the Bera-Jarque-Lee Test for Probit Models
AbstractThe inference in probit models relies on the assumption of normality. However, tests of this assumption are not implemented in standard econometric software. Therefore, the paper presents a simple representation of the Bera-Jarque-Lee test, that does not require any matrix algebra. Furthermore, the representation is used to compare the Bera-Jarque- Lee test with the RESET-type test proposed by Papke and Wooldridge (1996).
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Bibliographic InfoPaper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 13.
Date of creation: Dec 2007
Date of revision:
probit model; Lagrange multiplier test; normality assumption; artificial regression;
Other versions of this item:
- Wilde, Joachim, 2008. "A simple representation of the Bera-Jarque-Lee test for probit models," Economics Letters, Elsevier, vol. 101(2), pages 119-121, November.
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-08-31 (All new papers)
- NEP-DCM-2008-08-31 (Discrete Choice Models)
- NEP-ECM-2008-08-31 (Econometrics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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