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Non-normality as Distributional Misspecification in Single-Equation

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  • Vijverberg, Wim P M

Abstract

This paper provides a reevaluation of often-used limited dependent variable models. It shows that parameter estimators based on such models may be seriously biased and inconsistent if the true d istribution of the disturbance term deviates from normality. The degr ee of difference from normality is controlled in this paper by varyin g the skewness and kurtosis of the true distribution-these are distri butional characteristics that an empirical researcher can easily chec k for himself. This paper proposes to alert users of limited dependen t variable models to the potential problems of these models in the fa ce of nonnormality. Copyright 1987 by Blackwell Publishing Ltd

Suggested Citation

  • Vijverberg, Wim P M, 1987. "Non-normality as Distributional Misspecification in Single-Equation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 49(4), pages 417-430, November.
  • Handle: RePEc:bla:obuest:v:49:y:1987:i:4:p:417-30
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    Cited by:

    1. José M. Labeaga & Xisco Oliver & Amedeo Spadaro, "undated". "Measuring Changes in Health Capital," Working Papers 2005-15, FEDEA.
    2. Golbe, Devra L. & Nyman, Ingmar, 2013. "How do share repurchases affect ownership concentration?," Journal of Corporate Finance, Elsevier, vol. 20(C), pages 22-40.
    3. Gorton, Matthew & Sauer, Johannes & Peshevski, Mile & Bosev, Dane & Shekerinov, Darko & Quarrie, Steve, 2009. "Water Communities in the Republic of Macedonia: An Empirical Analysis of Membership Satisfaction and Payment Behavior," World Development, Elsevier, vol. 37(12), pages 1951-1963, December.
    4. Vijverberg, Wim P., 2000. "Betit: A Family That Nests Probit and Logit," IZA Discussion Papers 222, Institute for the Study of Labor (IZA).
    5. Jolliffe, Dean, 1997. "Whose education matters in the determination of household income," FCND discussion papers 39, International Food Policy Research Institute (IFPRI).

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