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Score Tests of Normality in Bivariate Probit Models

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Author Info

  • Anthony Murphy

    (Nuffield College, Oxford)

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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File URL: http://128.118.178.162/eps/em/papers/0512/0512004.pdf
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Bibliographic 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://128.118.178.162

Related research

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

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References

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  1. J. S. Butler & Patrali Chatterjee, 1997. "Tests of the Specification of Univariate and Bivariate Ordered Probit," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 343-347, May.
  2. Lee, Lung-Fei, 1983. "Generalized Econometric Models with Selectivity," Econometrica, Econometric Society, vol. 51(2), pages 507-12, March.
  3. 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.
  4. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  5. Pagan, Adrian & Vella, Frank, 1989. "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S29-59, Supplemen.
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Citations

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Cited by:
  1. Luca Zanin & Rosalba Radice & Giampiero Marra, 2013. "Estimating the Effect of Perceived Risk of Crime on Social Trust in the Presence of Endogeneity Bias," Social Indicators Research, Springer, vol. 114(2), pages 523-547, November.
  2. Rainer Winkelmann, 2011. "Copula bivariate probit models: with an application to medical expenditures," ECON - Working Papers 029, Department of Economics - University of Zurich.
  3. Chiburis, Richard C. & Das, Jishnu & Lokshin, Michael, 2012. "A practical comparison of the bivariate probit and linear IV estimators," Economics Letters, Elsevier, vol. 117(3), pages 762-766.
  4. Botezat, Alina & Pfeiffer, Friedhelm, 2014. "The Impact of Parents Migration on the Well-being of Children Left Behind: Initial Evidence from Romania," IZA Discussion Papers 8225, Institute for the Study of Labor (IZA).
  5. 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.
  6. Rainer Winkelmann, 2009. "Copula-based bivariate binary response models," SOI - Working Papers 0913, Socioeconomic Institute - University of Zurich.
  7. Riccardo LUCCHETTI & Claudia PIGINI, 2011. "Conditional Moment Tests for Normality in Bivariate Limited Dependent Variable Models: a Monte Carlo Study," Working Papers 357, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  8. Rachel Sabates-Wheeler & Ricardo Sabates & Adriana Castaldo, 2008. "Tackling Poverty-migration Linkages: Evidence from Ghana and Egypt," Social Indicators Research, Springer, vol. 87(2), pages 307-328, June.
  9. Konishi, Yoshifumi & Adachi, Kenji, 2011. "A framework for estimating willingness-to-pay to avoid endogenous environmental risks," Resource and Energy Economics, Elsevier, vol. 33(1), pages 130-154, January.

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