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Score Tests of Normality in Bivariate Probit Models

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Author Info
Anthony Murphy (Nuffield College, Oxford)

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Abstract

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.

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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0512004.

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Length: 10 pages
Date of creation: 06 Dec 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0512004

Note: Type of Document - pdf; pages: 10
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Web page: http://129.3.20.41

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Related research
Keywords: Score test; bivariate probit; normality; Gram-Charlier series;

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Find related papers by JEL classification:
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models

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References listed on IDEAS
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.:
  1. Lee, Lung-Fei, 1983. "Generalized Econometric Models with Selectivity," Econometrica, Econometric Society, vol. 51(2), pages 507-12, March. [Downloadable!] (restricted)
  2. Lee, Lung-Fei, 1984. "Tests for the Bivariate Normal Distribution in Econometric Models with Selectivity," Econometrica, Econometric Society, vol. 52(4), pages 843-63, July. [Downloadable!] (restricted)
  3. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Rainer Winkelmann, 2009. "Copula-based bivariate binary response models," Working Papers 0913, University of Zurich, Socioeconomic Institute. [Downloadable!]
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This page was last updated on 2009-11-20.

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