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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. Golbe, Devra L. & Nyman, Ingmar, 2013. "How do share repurchases affect ownership concentration?," Journal of Corporate Finance, Elsevier, vol. 20(C), pages 22-40.
    2. 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.
    3. Anita Lindmark, 2022. "Sensitivity analysis for unobserved confounding in causal mediation analysis allowing for effect modification, censoring and truncation," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 785-814, October.
    4. Daniel Pollmann & Thomas Dohmen & Franz Palm, 2020. "Robust Estimation of Wage Dispersion with Censored Data: An Application to Occupational Earnings Risk and Risk Attitudes," De Economist, Springer, vol. 168(4), pages 519-540, December.
    5. Jolliffe, Dean, 1997. "Whose education matters in the determination of household income," FCND discussion papers 39, International Food Policy Research Institute (IFPRI).
    6. Vijverberg, Wim P., 2000. "Betit: A Family That Nests Probit and Logit," IZA Discussion Papers 222, Institute of Labor Economics (IZA).
    7. W. H. Furtan & J. Sauer, 2008. "Determinants of Food Industry Performance: Survey Data and Regressions for Denmark," Journal of Agricultural Economics, Wiley Blackwell, vol. 59(3), pages 555-573, September.
    8. Carlos A Rodriguez & Maria Agudelo & Yudy A Aguilar & Andres F Zuluaga & Omar Vesga, 2016. "Impact on Bacterial Resistance of Therapeutically Nonequivalent Generics: The Case of Piperacillin-Tazobactam," PLOS ONE, Public Library of Science, vol. 11(5), pages 1-25, May.
    9. Furtan, H. & Sauer, J., 2009. "Determinants of Food Industry Performance – Survey Data and Regressions for Denmark," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 44, March.
    10. José M. Labeaga & Xisco Oliver & Amedeo Spadaro, "undated". "Measuring Changes in Health Capital," Working Papers 2005-15, FEDEA.

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