A simple representation of the Bera-Jarque-Lee test for probit models / Joachim Wilde
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Discovery
55727219X
URN
urn:nbn:de:gbv:3:2-6272
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle (Saale) : Inst. für Wirtschaftsforschung, 2007
Umfang
Online-Ressource, 11 S.=63 KB, Text
Ausgabevermerk
Sprache
eng
Anmerkungen
Zsfassungen in dt. und engl. Sprache
Inhaltliche Zusammenfassung
The inference in probit models relies on the assumption of normality. However, tests of this assumption are not implemented in standard econometric software. Therefore, the paper presents a simple representation of the Bera-Jarque-Lee test, that does not require any matrix algebra. Furthermore, the representation is used to compare the Bera-Jarque- Lee test with the RESET-type test proposed by Papke and Wooldridge (1996). -- probit model ; Lagrange multiplier test ; normality assumption ; artificial regression
Schriftenreihe
IWH-Diskussionspapiere ; 2007,13 ppn:37244492X