Score Tests of Normality in Bivariate Probit Models
AbstractA 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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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0512004.
Length: 10 pages
Date of creation: 06 Dec 2005
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Note: Type of Document - pdf; pages: 10
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Score test; bivariate probit; normality; Gram-Charlier series;
Other versions of this item:
- Murphy, Anthony, 2007. "Score tests of normality in bivariate probit models," Economics Letters, Elsevier, vol. 95(3), pages 374-379, June.
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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