Non-normality as Distributional Misspecification in Single-Equation
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
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Volume (Year): 49 (1987)
Issue (Month): 4 (November)
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